A systematic study of the magnetocaloric effect of a Ni51Mn33.4In15.6 Heusler alloy converted to nanoparticles via high energy ball-milling technique in the temperature range of 270 to 310 K has been performed. The properties of the particles were characterized by x-ray diffraction, electron microscopy, and magnetometer techniques. Isothermal magnetic field variation of magnetization exhibits field hysteresis in bulk Ni51Mn33.4In15.6 alloy across the martensitic transition which significantly lessened in the nanoparticles. The magnetocaloric effects of the bulk and nanoparticle samples were measured both with direct method, through our state of the art direct test bed apparatus with controllability over the applied fields and temperatures, as well as an indirect method through Maxwell and thermodynamic equations. In direct measurements, nanoparticle sample’s critical temperature decreased by 6 K, but its magnetocaloric effect enhanced by 17% over the bulk counterpart. Additionally, when comparing the direct and indirect magnetocaloric curves, the direct method showed 14% less adiabatic temperature change in the bulk and 5% less adiabatic temperature change in the nanostructured sample.