The synthesis of magnetic magnetite nanoparticles coated with amphiphilic block copolymers of poly(ethyl methacrylate)-block-poly(2-hydroxyethyl methacrylate) for use as new potential carriers for hydrophobic drug delivery is reported. The results show that a new core-shell-corona structural material is obtained with a very narrow molecular weight distribution of the hydrophobic segment (PDI = 1.10). UV-Vis results show that 37% of progesterone is released from the nanoparticles after 22 h, much slower than free release (99% after 14 h), which demonstrates that the presence of the hydrophobic segment can effectively control the release of hydrophobic drugs.