The dispersion behavior of polystyrene-coated iron oxide nanoparticles, referred to as FeOx@PS, is explored in the Theta-solvent cyclohexane in dependency of the temperature, particle size, and polymer concentration. Two different transitions are observed. A volume transition of the particle shell occurs on crossing the Theta-temperature, as detected by dynamic light scattering. In the higher concentration regime, a reversible, particle-agglomeration-induced phase separation is observed by means of cloud point photometry, and the dependency of the phase separation behavior on the concentration and molar mass of the polymeric arms is investigated. Studies concerning both phenomena are compared with the phase behavior of linear PS with high molar mass.