•Preparation of NiMnGa Heusler-type microwires.•A systematic study of magnetic properties of NiMnGa microwires.•Observation of MCE effect in NiMnGa microwires.•Discussions of the effect of internal stresses on properties of NiMnGa microwires.•Discussions of the effect of internal stresses on structure of NiMnGa microwires. We studied magnetic properties, structure and magnetocaloric effect (MCE) in thin NiMnGa glass-coated microwires. After annealing studied microwires exhibit ferromagnetic behavior at room temperature. We directly measured the temperature change, ΔT, originated from the MCE in annealed NiMnGa glass-coated microwires and after glass removal. After glass removal ΔT increases from 0.06–0.08K to 0.22K. Observed temperature dependence of magnetization and MCE should be associated with both magnetic (paramagnetic–ferromagnetic) and structural (austenite–martensite) phase transitions. Considerable magnetization increase in vicinity of Curie temperature can be also attributed to the Hopkinson effect. We evaluated the possibility to prepare the magnetocaloric materials for magnetic refrigerators in the form of glass-covered microwires and showed that glass-coated microwires might be interesting for the MCE applications owing to high ratio of surface to volume.