Influence of the ZrOn matrix stoichiometry on electrical and magnetoresistive properties of Fe–Zr–O nanocomposites have been studied in wide range of Fe concentration (16–64 at.%). Two groups of the composite samples with different ZrOn stoichiometry were investigated: first group with the oxygen lack, the second one with the oxygen excess. It was established that the magnetoresistivity is not observed in the first group composites while the ensuring of the zirconium dioxide stoichiometry (the second group composites) leads to appearance of the magnetoresistive effect and raise (up to two orders) the composites resistivity. Magnetoresistivity in the first group composites appears only after heat treatment at 350 C. The obtained results are explained based on the difference in the density of localized states in the oxide matrix of the composites with lack and excess of oxygen and ratio between two types of conductivity (hopping conductivity and spin-dependent electron tunneling).