Direct discharge of industrial wastewater containing dyes into water bodies has contributed to the scarcity of drinking water. As environmental legislation becomes stricter, it is increasingly important to develop efficient methods for wastewater treatment. Traditional methods are commonly costly and have limited efficiency. This study aimed to prepare iron oxides via different synthetic routes and evaluate the effect of synthesis method on the efficiency of these materials as adsorbents and heterogeneous Fenton catalysts for the removal of methylene blue from aqueous solution. Iron oxides were synthesized by non-hydrolytic sol–gel (NHSG) and co-precipitation (CP) methods, followed by hydrothermal treatment for different times. CP oxides demonstrated high efficiency in dye adsorption, particularly the sample subjected to hydrothermal treatment for 6 h (CP-R6). This sample achieved 94.04% removal in 120 min. NHSG materials, by contrast, were less effective. The CP series of materials showed superior catalytic performance in heterogeneous Fenton experiments, with CP-R6 reaching 98.79% decolorization in 240 min. X-ray diffraction analysis indicated that iron oxides were composed of crystalline hematite and maghemite. Scanning electron microscopy revealed that CP materials were more porous and homogeneous than NHSG materials. The results demonstrated the efficiency of the developed iron oxides in removing methylene blue via adsorption and heterogeneous Fenton degradation and clarified how synthesis method influences adsorptive and catalytic properties.