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Polymer templates play an essential role in the robust infiltration-based synthesis of functional multicomponent heterostructures with controlled structure, porosity, and composition. Such heterostructures are be used as hybrid organic–inorganic composites or as all-inorganic systems once the polymer templates are removed. Using iron oxide/alumina heterostructures formed by two-step infiltration of polystyrene-block-polyvinyl pyridine block copolymer with iron and aluminum precursors from the solution and vapor-phases, respectively, we show that the phase and morphology of iron oxide nanoparticles dramatically depend on the approach used to remove the polymer. We demonstrate that thermal and plasma oxidative treatments result in iron oxide nanoparticles with either solid or hollow morphologies, respectively, that lead to different magnetic properties of the resulting materials. Our study extends the boundaries of structure manipulations in multicomponent heterostructures synthesized using polymer infiltration synthesis, and hence their properties.