We have prepared NiMnGa glass-coated microwires with different geometrical aspect ratios, ρ = dmetal/Dtotal (dmetal—diameter of metallic nucleus, and Dtotal—total diameter). The structure and magnetic properties are investigated in a wide range of temperatures and magnetic fields. The XRD analysis illustrates stable microstructure in the range of ρ from 0.25 to 0.60. The estimations of average grain size and crystalline phase content evidence a remarkable variation as the ρ-ratio sweeps from 0.25 to 0.60. Thus, the microwires with the lowest aspect ratio, i.e., ρ = 0.25, show the smallest average grain size and the highest crystalline phase content. This change in the microstructural properties correlates with dramatic changes in the magnetic properties. Hence, the sample with the lowest ρ-ratio exhibits an extremely high value of the coercivity, Hc, compared to the value for the sample with the largest ρ-ratio (2989 Oe and 10 Oe, respectively, i.e., almost 300 times higher). In addition, a similar trend is observed for the spontaneous exchange bias phenomena, with an exchange bias field, Hex, of 120 Oe for the sample with ρ = 0.25 compared to a Hex = 12.5 Oe for the sample with ρ = 0.60. However, the thermomagnetic curves (field-cooled—FC and field-heating—FH) show similar magnetic behavior for all the samples. Meanwhile, FC and FH curves measured at low magnetic fields show negative values for ρ = 0.25, whereas positive values are found for the other samples. The obtained results illustrate the substantial effect of the internal stresses on microstructure and magnetic properties, which leads to magnetic hardening of samples with low aspect ratio.