Abstract A thermodynamic study about the stability of intermediates in the reaction of 5‐hydroxymethylfurfural (HMF) over Preyssler heteropolyacids (HPA‐Preyssler) was performed to explain the self‐etherification or oxidation of HMF. Although the product of etherification forms in higher proportion when a heteropolyacid is used, other oxidation products are also observed. The availability of HPA‐Preyssler protons is essential to conduct the self‐etherification; however, this is not favored when the heteropolyacid is immobilized on metallic oxides and besides, the reusability of the supported heteropolyacid is low. In this study, magnetic composites were used to incorporate the HPA‐Preyssler to prevent the formation of by‐products and to facilitate the separation from the reaction medium. The results of catalytic tests and acidity analysis demonstrated a better proton availability, and the recovery of glutaraldehyde of the heteropolyacid decreases the leaching of immobilized HPA‐Preyssler when the composite is reused. The reaction was optimized obtaining a maximum yield to OBMF near 70% in 5 h.