The magnetism of epitaxial ultrathin films of Fe on ZnSe(001) has been investigated by x-ray magnetic circular dichroism down to the submonolayer regime. In contrast to other metallic ferromagnet/semiconductor interfaces, no reduction of the Fe magnetic moment was found at the Fe/ZnSe(001) interface. Furthermore, a significant enhancement of the Fe magnetic moment compared to the bulk value was observed for coverages up to one monolayer in agreement with theoretical predictions. We also demonstrate that the magnetic properties of the Fe/ZnSe(001) interface remain stable against thermal annealing up to 300 degrees C, a prerequisite for the future development of efficient spintronics devices.