A series of Fe / ZrO2 catalysts with different particle size has been prepared by the supercritical fluid drying and conventional impregnation methods. The neighboring coordinative environment of iron in these catalysts was investigated by XAFS. The results show that as the particle size of Fe/ ZrO2 catalysts is decreased, their structure is disorder gradually, the coordination number of the first Fe-O shell does not change and their Fe-O bond length has a litter shrink, The coordination number and bond length of the second Fe-O shell are decreased, and coordination number of higher coordination shell decreases very quickly. The correlation between the XAFS results and the activity and selectivity of these catalysts was obtained.