Heusler-type ferromagnetic shape memory alloys possess attractive multifunctional properties, including magnetic field induced shape memory effect, magnetoresistance and magnetocaloric effect, owing to the unique concurrent magnetic and martensitic transformations. However, these intermetallics generally exhibit intrinsic high brittleness and low strength, which severely impede their workability for processing and applicability in real use. In this study, we demonstrate a new grain refining strategy by means of eutectic solidification to improve the mechanical properties in Ni-Mn-Sn-Fe alloys. In a fully eutectic microstructure, the average γ lamellae thickness was refined to ~170 nm and the composite showed a compressive strength of 1950 MPa, ductility of 19.5%, Young's Modulus of 38 GPa, pseudoelasticity of 3.2% and high mechanical cyclic stability. The high mechanical performance is attributed to the effect of departmentalisation of the brittle Heusler alloy by the densely distributed γ phase fine lamellae in resisting crack propagation. The eutectic Heusler composite exhibited a metamagnetic phase transformation, with a magnetic entropy change of 10.2 J/kg•K and a refrigeration capacity of 181 J/kg in a field change of 5 T.