We investigate 1, 2, 3, and 4 monolayers of iron grown on the (001) surface of ZnSe using spin density functional theory, plane-wave expansion, and ultrasoft pseudopotentials. An ideal structure of the interface is plausible due to the very small lattice mismatch between both materials. However, we observe dramatic deviations from this idealized configuration. The most distinctive variations arise in the case of a single monolayer. Here a terminating Zn layer is buoying upwards. The thicker the Fe layer the weaker are the relaxations in the iron region. Nevertheless, in the case of the Se-terminated surface, the structure changes significantly inside the semiconductor near the interface. The profiles of the electronic density and the magnetization perpendicular to the surface are quite sensitive to the change from the ideal to the real structure.