This review aims to comprehensively and systematically analyze the anodic oxidation process to form nanostructured oxide films on the surface of the most technologically relevant Fe-based alloys and steels. A special emphasis is put on detailed analysis of the mechanisms of the anodic formation of Fe-based nanostructured materials. The effect of anodizing parameters including the type of Fe-alloy, electrolyte composition, potential/current regimes, as well as various post-treatment procedures (including annealing treatment) on the growth, morphology, composition, and properties of the resulting oxide films is discussed in detail. Examples of possible applications of the anodic films grown on Fe-alloys in various fields including photocatalysis, energy storage, sensors, biomedicine, and others are also provided. Finally, current trends, challenges, and perspectives in the anodizing of Fe-alloys are addressed.