Ni-Mn-Z (Z = In, Sn and Sb) Meta-Magnetic Shape Memory Alloys (MMSMA) have attracted considerable interest in past few decades due to their unique properties associated with a structural transformation called the Martensitic Transformation (MT) between a ferromagnetic austenite phase and weakly magnetic martensitic phase. As a result, a significant drop in magnetization takes place during the martensitic transformation. This feature allows the induction of the transformation by applying a magnetic field, leading to multi-functional properties such as giant magneto-resistance, magnetic shape memory effect, and large inverse magnetocaloric effect. These properties have practical applications in sensing and magnetic refrigeration. The transformation temperatures, magnetization of different phases, entropy change associated with the transformation, and other magneto-structural characteristics determining the functional properties depend on the composition, structure and microstructure of the alloys. While structure and composition (including atomic order) has been extensively analyzed, the role of microstructure has received less attention, despite its potential for controlling the magneto-structural properties. Therefore, this Ph.D. thesis is partially focused on examining the influence of microstructure in meta-magnetic shape memory alloys (specifically in Co-doped Ni-Mn-In) on the magneto-structural properties of micro-particles produced by milling. On the other side, the high MCE found in Ni-Mn-In-Co alloys, make them an attractive material for use in energy-efficient technologies. However, these alloys are very brittle and their use in commercial devices (heat exchanger for example) is limited to simple geometries. To overcome this issue, the present work demonstrates that the use of composites synthesized employing magnetic shape memory micro-particles (functionality) and polymers (geometrical integrity) could be an alternative in the future. The main goal is to be able to obtain microparticles with enhanced functional properties (sizes compatible with a standard 3D-printer nozzle) that can be embedded in a polymer matrix which results in a homogeneous 3D-printable magnetic composite. In this framework, thermo-mechanical treatments were employed (including hand-crushing, ball-milling and thermal annealing) to produce Ni45Co5Mn36.7In13.3 micro-particles. The influence of mechanical milling on the structural and magnetic properties (MT characteristics, crystallographic structures, saturation magnetization and magnetic susceptibility) and on the microstructural parameters such as the internal strains and crystallite sizes of micro-particles has been analyzed. The analysis was carried out in samples milled in both austenite and martensite and subjected to different milling times. A deeper understanding of the role played by the microstructure in the magneto-structural properties of these meta-magnetic shape memory alloys was achieved. For each milling time, the particles have been sieved into different size intervals and a comparative analysis of the magneto-structural and microstructural parameters of the particles within the same size range have been performed. The correlation between the degree of deformation and particle size opened new possibilities to enhance the functional properties of the alloys, where by mere selecting the particle size (irrespective of the duration, time and environment of milling), specific magneto-structural properties and transformation characteristics can be selected. The MCE and relative cooling power have been estimated in those particles suitable for been embedded into printable polymeric filaments. Finally, the fabrication of magnetic Polymer–MMSMA composites was carried out. The effect of the addition of the micro-particles onto the phase transformations and the thermal stability of the polymers has also been analyzed. Filaments were extruded from the composites with the higher particle concentration and mechanical consistency. The printability of these filaments was also demonstrated. As a proof of concept, a 3D printed heat exchanger for magnetic refrigeration was successfully produced using the developed filament.