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We demonstrate the occurrence of compensated spin configurations in Fe clusters and monolayers on Ru(0001) and Rh(111) by a combination of x-ray magnetic circular dichroism experiments, first-principles calculations, and Monte Carlo simulations. Our results reveal complex intracluster exchange interactions which depend strongly on the substrate 4d-band filling, the cluster geometry, as well as lateral and vertical structural relaxations. The importance of substrate 4d-band filling manifests itself also in small nearest-neighbor exchange interactions in Fe dimers and in a nearly inverted trend of the Ruderman-Kittel-Kasuya-Yosida coupling constants for Fe adatoms on the Ru and Rh surface.