[Fe/Fe4N]N multilayers with high saturation magnetization were prepared on MgO(200) substrate, by the DC reactive magnetron sputtering and then annealed at higher temperature. Their structural and magnetic properties were investigated. Epitaxial growth of α-Fe and γ’-Fe4N were demonstrated on MgO, and then excellent [Fe/Fe4N]N was obtained. Though the saturation magnetizations of the as-deposited [Fe/Fe4N]N are slightly below the average value of those of α-Fe and γ’-Fe4N, the saturation magnetization of the annealed [Fe(3.04 nm)/Fe4N(3.04 nm)]5 increases up to 1850 emu/cc, 32 % larger than that of α-Fe film. N atom diffusion from the γ’-Fe4N to the α-Fe layer at high temperature greatly improves the saturation magnetization.