Exploiting first-principles simulations and x-ray absorption near edge spectroscopy (XANES) in high magnetic fields, we investigated the magnetic properties of thin films of zirconia doped with Fe impurities. In our ${\mathrm{Zr}}_{1\ensuremath{-}x}{\mathrm{Fe}}_{x}{\mathrm{O}}_{2\ensuremath{-}y}$ samples, grown by atomic layer deposition (ALD), the Fe dopants are uniformly distributed, ranging from diluted ($x\ensuremath{\simeq}2\text{--}3%$) up to high ($x\ensuremath{\simeq}25%$) atomic concentration. By x-ray magnetic circular dichroism (XMCD), we carefully analyzed, for samples having different Fe concentration, the magnetic moments as a function of temperature, in the range from 5 K up to 150 K, studying the best dopant concentration range maximizing the magnetic signal. Surprisingly, the iron magnetic moment measured for diluted concentrations degrades as the concentration of magnetic dopant increases. On the basis of ab initio simulations, we propose that the microscopic mechanisms responsible for the peculiar magnetic properties of this compound can be explained by oxygen-mediated superexchange mechanism between the Fe dopants producing, at high dopant concentration, an antiferromagnetic coupling between two Fe atoms. We identify and discuss the role of O vacancies to control such microscopic mechanisms.