Single-core MgB2 wires have been made by the powder-in-tube method using commercial Mg and B powders (Alfa Aesar) and two-axial rolling deformation in FeNiCo alloy and pure iron sheaths. Deformed wires were subjected to annealing at temperatures ranging from 500 up to 750 °C for 30 min in argon atmosphere. Resistive (R(T)) and transport current (Ic(B)) measurements have shown how the sintering temperature influences the critical temperature and critical current densities. Strong inter-diffusion and reaction especially between the Mg + B core and FeNiCo sheath has been observed. This reaction is mostly responsible for the presented differences in the critical parameters of FeNiCo and iron sheathed wires.