An iron protein complex which combines with oxygen and carbon dioxide is:

Hemoglobin (sometimes abbreviated as Hb) is a complex protein found in red blood cells that contains an iron molecule.  The main function of hemoglobin is to carry oxygen from the lungs to the body tissues, and to exchange the oxygen for carbon dioxide, and then carry the carbon dioxide back to the lungs and where it is exchanged for oxygen.  The iron molecule in hemoglobin helps maintain the normal shape of red blood cells.