In the current study, we have succeeded to fabricate Co2FeSi Heusler alloy glass-covered microwires with magnetic core nucleus diameter d = 4.36 µm and total diameter D = 17.55 µm, with high Curie temperature (Tc>1100 K) and well-defined magnetic anisotropy for high temperature spintronic devices application. The magnetic properties of as-prepared and annealed at different temperature (873 K, 973 K and 1073 K for 1 h) of Co2FeSi Heusler alloy glass-covered microwires have been investigated. Strong dependence of the magnetic properties on the annealing conditions has been indicated. Anomalous magnetic behavior for annealed samples at 873 K and 973 K has been found and structural properties of such samples have been analyzed. Critical temperatures 155 K and 250 K have been detected for annealed samples at 873 K and 973 K, respectively, where the behavior of M-H loops and coercivity changed. Below the critical point the M-H curve shows “kink or wasp-waisted” magnetic behavior and complex magnetic reversal mechanism is supposed. The anomalous magnetic behavior is due to the martensitic phases induced by annealing conditions below the room temperature. This unusual magnetization behavior provides opportunities to understand the phenomena of different types of magnetic domain structures in the preferred crystallographically oriented Co2FeSi Heusler alloy glass-coated micro-wires, essentially helpful for designing the devices based on magnetization switching. •Production of Co2FeSi Heusler alloy glass-coated microwires with high Curie temperature.•Strong dependence of the magnetic properties Co2FeSi Heusler alloy glass-coated microwires on the annealing conditions.•Anomalous magnetic behavior below the room temperature for Co2FeSi glass-coated microwires annealed at 873 K and 973 K.•Critical temperatures where changes in the magnetic and structure phases appear were detected for annealed samples.•Suitability of Co2FeSi microwires for the design of devices based on magnetization switching.