This work highlights a strategy for the one-step synthesis of FeAu nanoparticles by the pulsed laser ablation of alloy targets in the presence of different solvents. This method allows particle generation without the use of additional chemicals; hence, solvent-metal interactions could be studied without cross effects from organic surface ligands. A detailed analysis of generated particles via transmission electron microscopy in combination with EDX elemental mapping could conclusively verify that the nature of the used solvent governs the internal phase structure of the formed nanoparticles. In the presence of acetone or methyl methacrylate, a gold shell covering a non-oxidized iron core was formed, whereas in aqueous media, an Au core with an Fe3O4 shell was generated. This core-shell morphology was the predominant species found in >90% of the examined nanoparticles. These findings indicate that fundamental chemical interactions between the nanoparticle surface and the solvent significantly contribute to phase segregation and elemental distribution in FeAu nanoparticles. A consecutive analysis of resulting Fe@Au core-shell nanoparticles revealed outstanding oxidation resistance and fair magnetic and optical properties. In particular, the combination of these features with high stability magnetism and plasmonics may create new opportunities for this hybrid material in imaging applications.