We present a systematic first-principles study of Fe | MgO bilayer systems emphasizing the influence of the iron layer thickness on the geometry, the electronic structure and the magnetic properties. Our calculations ensure the unconstrained structural relaxation at scalar relativistic level for various numbers of iron layers placed on the magnesium oxide substrate. Our results show that due to the formation of the interface the electronic structure of the interface iron atoms is significantly modified involving charge transfer within the iron subsystem. In addition, we find that the magnetic anisotropy energy increases from 1.9 mJ m(-2) for 3 Fe layers up to 3.0 mJ m(-2) for 11 Fe layers.