First‐order, magnetocaloric materials are promising for energy efficient solid‐state cooling because of their high entropy changes, but they have the drawback of a hysteresis due to the nucleation and growth of the involved phases. Here, synchrotron based X‐ray diffraction is used to investigate epitaxial Ni−Mn−Ga−Co thin films grown on Pb(Mg1/3Nb2/3)0.72Ti0.28O3 (PMN‐PT). This integral method is used to test several hypotheses regarding structure and orientation of the martensite, whose nucleation was proposed to be the decisive contribution to hysteresis in Heusler materials. The measurements are compared to a recently proposed model of the martensitic nuclei, combining the phenomenological martensite theory with the adaptive concept. This investigation demonstrates that the diffraction patterns are consistent with a martensitic nucleus built from 8 variants forming a‐b laminates. Additionally, it is shown that in accordance with the surface morphology of these films only a subset of nuclei occur, namely those needed to form type X martensite.