MgB2 thin films were fabricated on MgO (100) single crystal substrates. First, deposition of boron was performed by rf magnetron sputtering on MgO substrates and followed by a post deposition annealing at 850 degrees C in magnesium vapor. In order to investigate the effect of FeO nanoparticles on magnetic properties of MgB2 thin films, the films were coated with different concentrations of FeO nanoparticles by spin coating process. The magnetic field dependence of the critical current density J(c) was calculated from the M-H loops and also magnetic field dependence of the pinning force density f(p)(b) was determined for the films containing different concentrations of FeO nanoparticles. The values of the critical current density J(c) in zero field at 5 K was found to be around 1 x 10(6) A/cm(2) for pure MgB2 film, 1.4 x 10(6) for MgB2 film coated with 25 %, 7.2 x 10(5) for MgB2 film coated with 33 %, 9.1 x 10(5) for MgB2 film coated with 50% and 1.1 x 10(6) A/cm(2) for MgB2 film coated with 100 %. It was found that the film coated with 25 % FeO nanoparticles has slightly enhanced critical current density and it can be noted that especially the film coated with 25 % FeO became stronger in the magnetic field. The films coated with FeO were successfully produced and they indicated the presence of artificial pinning centers created by FeO nanoparticles. The superconducting transition temperature of the film coated with 25 % FeO nanoparticles was determined by moment-temperature (M-T) measurement to be 34 K which is 4 K higher than that of the pure film.