We obtained assemblies of Ni/MgO core/shell nanoparticles (NPs) by using a special experimental setup, in which a beam of preformed Ni nanoclusters, obtained by sputtering and aggregation, is co-deposited with evaporated Mg on a substrate, in a controlled O(2) atmosphere. In situ X-ray photoelectron spectroscopy (XPS) and ex situ energy-filtered transmission electron microscopy (EF-TEM) show that the Ni core remains metallic, whereas Mg, located in the shell, is completely oxidized. Detailed high-resolution transmission electron microscopy and geometric phase analyses reveal the multitwinned icosahedral structure of the Ni core and details the arrangement of the MgO shell. This combined effort of controlled assembly of NPs and fine analysis offers intriguing possibilities in the design of nanoscale materials.