Martensitic transformations of rapidly quenched and less‐rapidly cooled Heusler alloys of type Ni–Mn–X with X=Ga, In, and Sn are investigated by ab initio calculations. For alloys rapidly cooled from 1173 K, we obtain the well‐known magnetocaloric properties near the magnetocaloric phase transition. For the less‐rapidly cooled alloys with secondary heat treatment these magnetocaloric properties start to change considerably, because each alloy transforms during temper‐annealing into a dual‐phase composite alloy. These two phases are identified to be cubic stoichiometric Ni2MnX and tetragonal disordered NiMn.