Ultra-hot Jupiters are gas giants planets whose dayside temperature is greater than 2200 K as a consequence of the strong irradiation received from the host star. These kinds of objects are perfect laboratories to study the chemistry of exoplanetary upper atmospheres via transmission spectroscopy. Exo-atmospheric absorption features are buried in the noise of the in-transit residual spectra. However we can retrieve information of hundreds of atmospheric absorption lines by performing a cross-correlation with an atmospheric transmission model, which allows us to greatly increase the exo-atmospheric signal. The Rossiter-McLaughlin effect and centre-to-limb variation contribute strongly at the high spectral resolution of our data. We present the first detection of Fe I and confirmation of absorption features of Fe II in the atmosphere of the ultra-hot Jupiter MASCARA-2b/KELT-20b, by using three transit observations with HARPS-N. After combining all transit observations we find a high cross-correlation signal of Fe I and Fe II with signal-to-noise ratios of 10.5 ± 0.4 and 8.6 ± 0.5, respectively. The peak absorption for both species appear to be blue-shifted with velocities of - 6.3 ± 0.8 km s-1 for Fe I and - 2.8 ± 0.8 km s-1 for Fe II, suggesting the presence of winds from the day- to night-side of the atmosphere of the planet. These results confirm previous studies of this planet and add a new atomic species (Fe I) to the long list of detected species in the atmosphere of MASCARA-2b, making it, together with KELT-9b, the most feature-rich ultra-hot Jupiter to date.