Nanostructured thin films based on indium oxide have been prepared by a modified rheotaxial growth and thermal oxidation (RGTO) deposition technique. The layers were additivated with 8–30% iron in order to stabilize the microstructure and to enhance the sensing properties toward ozone. Microstructural characterization highlighted formation of core–shell structures featuring iron segregation in the outer part of the nanosized agglomerates. Such peculiar morphology resulted in improved gas sensing performance. The electrical test of the sensing layers indicated high sensitivity to ozone together with a relatively low cross-sensitivity to interfering gases.