Effect of particle size on exchange bias observed in Fe/Fe oxide core/shell structured nanoparticles was investigated. Inert gas condensation was utilized for the synthesis of samples. Two sets of different particle size samples were prepared and the structural and magnetic properties were probed. It was found that the small particles show superparamagnetic behavior and exhibit high exchange bias field, 1574±25 Oe at 5 K, when field cooled in the presence of 2 T magnetic field. Structural analyses of the particles in correlation with the magnetic measurements show that the smaller particle size (6 nm Fe core, 1.5 nm Fe oxide shell) favors amorphous oxide shell structure, and this in turn causes high magnetocrystalline anisotropy and enhanced exchange bias. Furthermore, we have also observed a vertical shift of the hysteresis loop related to the pinned spins at the ferromagnetic/antiferromagnetic (AFM) interface of the small particles. Decreased core size, high AFM anisotropy, and pinned spins observed from the small size particles support the domain wall model of the exchange bias.