Ni-Co-Mn-In system is a new type of magnetic shape memory alloys (MSMAs) where the first order structural and magnetic phase transitions overlap. These materials can generate large reversible shape changes due to magnetic-field-induced martensitic transformation, and exhibit magneto-caloric effect and magnetoresistance. Ni-Co-Mn-Sn alloys are inexpensive alternatives of the Ni-Co-Mn-In alloys. In both materials, austenite has higher magnetization levels than martensite. Fe-Mn-Ga is another MSMA system, however, whose magnetization trend is opposite to those of the Ni-Co-Mn-X (In-Sn) systems upon phase transformation. The MSMAs have attracted great interest in recent years, and their magnetic and thermo-mechanical properties need to be further investigated. In the present study, the effects of indium concentration, cooling, and annealing on martensitic transformation and magnetic response of single crystalline Ni-Co-Mn-In alloys were investigated. Increasing indium content reduced the martensitic transformation start (Ms) temperature, while increasing temperature hysteresis and saturation magnetization. Increasing annealing temperature led to an increase in the Ms temperature whereas annealing at 400 degrees C and 500 degrees C led to the kinetic arrest of austenite. Cooling after solution heat treatment also notably affected the transformation temperatures and magnetization response. While the transformation temperatures increased in the oil quenched samples compared to those in the water quenched samples, these temperatures decreased in furnace cooled samples due to the kinetic arrest. The possible reasons for the kinetic arrest are: atomic order changes, or precipitate formation. Shape memory and superelastic response, and magnetic field-induced shape recovery behavior of sintered Ni43Co7Mn39Sn11 polycrystalline alloys were also examined. The microstructural analysis showed the existence of small pores, which seem to increase the damage tolerance of the sintered polycrystalline samples. The recoverable transformation strain, irrecoverable strain and transformation temperature hysteresis increased with stress upon cooling under stress. Moreover, magnetic-field-induced strain due to the field-induced phase transformation was confirmed to be 0.6% at 319K. Almost perfect superelastic response was obtained at 343K. A magnetic entropy change of 22 J kg-1 K-1 were determined at 219K from magneto-caloric effect measurements which were conducted on annealed Ni43Co7Mn39Sn11 ribbons. Magnetic characteristics and martensitic transformation behavior of polycrystalline Fe-Mn-Ga alloys were also examined. Cast alloys at various compositions were undergone homogenization heat treatments. It was verified by magnetization measurements that the alloys heat treated at 1050 degrees C shows martensitic transformation. The heat treatment time was determined to be 1 day or 1 week depending on the compositions.