We investigate the binary phase diagram of helium and iron using first-principles calculations. We find that helium, which is a noble gas and inert at ambient conditions, forms stable crystalline compounds with iron at terapascal pressures. A FeHe compound becomes stable above 4 TPa, and a FeHe2 compound above 12 TPa. Melting is investigated using molecular dynamics simulations, and a superionic phase with sublattice melting of the helium atoms is predicted. We discuss the implications of our predicted helium-iron phase diagram for interiors of giant (exo)planets and white dwarf stars.