Films of magnetic Ni@NiO core-shell nanoparticles (NPs, core diameter d ≅ 12 nm, nominal shell thickness variable between 0 and 6.5 nm) obtained with sequential layer deposition were investigated, to gain insight into the relationships between shell thickness/morphology, core-shell interface, and magnetic properties. Different values of NiO shell thickness t(s) could be obtained while keeping the Ni core size fixed, at variance with conventional oxidation procedures where the oxide shell is grown at the expense of the core. Chemical composition, morphology of the as-produced samples and structural features of the Ni/NiO interface were investigated with x-ray photoelectron spectroscopy and microscopy (scanning electron microscopy, transmission electron microscopy) techniques, and related with results from magnetic measurements obtained with a superconducting quantum interference device. The effect of the shell thickness on the magnetic properties could be studied. The exchange bias (EB) field H(bias) is small and almost constant for ts up to 1.6 nm; then it rapidly grows, with no sign of saturation. This behavior is clearly related to the morphology of the top NiO layer, and is mostly due to the thickness dependence of the NiO anisotropy constant. The ability to tune the EB effect by varying the thickness of the last NiO layer represents a step towards the rational design and synthesis of core-shell NPs with desired magnetic properties.