The influence of nanoparticles on the domain orientation in a particle co-operated self-assembly process in thin diblock copolymer films is investigated toward the preparation of ordered magnetic nanoparticle arrays. Thin films are prepared from a mixture of chemically masked iron oxide nanoparticles and a polystyrene-block-poly (methyl methacrylate) diblock copolymer. The resulting nanostructures are investigated with grazing incidence small-angle X-ray scattering, atomic force microscopy and scanning electron microscopy. Nanoparticles arrange themselves spontaneously inside the upright cylindrical domains due to the selective affinity to the poly (methyl methacrylate) minority phase during the microphase separation process and due to the balance of the surface free energies between the polymers and the nanoparticle coating after annealing. The incorporation of the nanoparticles inside the cylindrical domains increases the diameter of the cylindrical domains and the distance between two neighboring domains. A spatially ordered arrangement of magnetic nanoparticles is observed below a critical concentration of 0.2 vol% for the investigated molecular weight of 77 kg/mol.