In this work, we describe the synthesis of magnetic nanoparticles composed of a maghemite core (MNP) and three different coatings (dextran, D-MNP; carboxymethyldextran, CMD-MNP; and dimercaptosuccinic acid, DMSA-MNP). Their interactions with red blood cells, plasma proteins, and macrophages were also assessed. CMD-MNP was selected for its good biosafety profile and for promoting a pro-inflammatory response in macrophages, which was associated with the nature of the coating. Thus, we proposed a smart miRNA delivery system using CMD-MNP as a carrier for cancer immunotherapy applications. Particularly, we prove that CMD-MNP-miRNA155 and CMD-MNP-miRNA125b nanoparticles can display a pro-inflammatory response in human macrophages by increasing the expression of CD80 and the levels of TNF-α and IL-6. Hence, our proposed miRNA-delivery nanosystem can be exploited as a new immunotherapeutic tool based on magnetic nanoparticles.