In the category of biopolymers, polylactide or polylactic acid (PLA) is one of the most promising candidates considered for future developments, as it is not only biodegradable under industrial composting conditions, but it is produced from renewable natural resources. The modification of PLA through the addition of nanofillers is considered as a modern approach to improve its main characteristic features (mechanical, thermal, barrier, etc.) and to obtain specific end-use properties. Iron oxide nanoparticles (NPs) of low dimension (10–20 nm) such as magnetite (Fe3O4), exhibit strong magnetization in magnetic field, are biocompatible and show low toxicity, and can be considered in the production of polymer nanocomposites requiring superparamagnetic properties. Accordingly, PLA was mixed by melt-compounding with 4–16 wt.% magnetite NPs. Surface treatment of NPs with a reactive polymethylhydrogensiloxane (MHX) was investigated to render the nanofiller water repellent, less sensitive to moisture and to reduce the catalytic effects at high temperature of iron (from magnetite) on PLA macromolecular chains. The characterization of nanocomposites was focused on the differences of the rheology and morphology, modification, and improvements in the thermal properties using surface treated NPs, while the superparamagnetic behavior was confirmed by VSM (vibrating sample magnetometer) measurements. The PLA−magnetite nanocomposites had strong magnetization properties at low magnetic field (values close to 70% of Mmax at H = 0.2 T), while the maximum magnetic signal (Mmax) was mainly determined by the loading of the nanofiller, without any significant differences linked to the surface treatment of MNPs. These bionanocomposites showing superparamagnetic properties, close to zero magnetic remanence, and coercivity, can be further produced at a larger scale by melt-compounding and can be designed for special end-use applications, going from biomedical to technical areas.