This review summarizes recent advances in first‐principles simulations of the structural, mechanical, and magnetomechanical properties of Ni–Mn–Ga‐based ferromagnetic shape memory alloys from the perspective of experimental characterization. It focuses on calculations that can capture the main features of the low‐temperature phases, particularly the appearance of spatial modulations, the occurrence of intermartensitic transitions, and the high mobility of the twin boundaries, which allows for magnetically induced reorientation. Although the calculations can only be used to interpret some of these features and are not yet ready to be used as a tool for designing new alloys with the required properties, the gap between experimental observations and simulations is narrowing. When experiments and theory are discussed together, new challenges arise for both. In addition, new results on first‐principles‐determined elastic constants of the 10M martensite of Ni–Mn–Ga are presented and discussed with respect to the high mobility of the twin boundaries.