We studied the effect of annealing on magnetic properties and structure of Heusler-type NiMnGa glass-covered microwires with a metallic nucleus diameter of about 22 μm prepared using the Taylor–Ulitovsky method. The as-prepared NiMnGa glass-covered microwires do not present ferromagnetic order at room temperature. Magnetization curves of the as-prepared samples do not present either saturation or coercivity at temperatures above 5 K. After annealing of the microwires, a ferromagnetic ordering is obtained with a Curie temperature of about 300 K which is beneficial for magnetic solid state refrigeration. The hysteresis observed on temperature dependence of magnetization in annealed samples and magnetic softening at about 260 K has been interpreted as the first-order phase transformation. Observed changes have been discussed considering internal stress relaxation after annealing, nanocrystalline structure of the as-prepared and annealed samples, recrystallization process and magnetic ordering of phases identified in the as-prepared sample and appearing under recrystallization. Existence of insulating and flexible glass-coating is beneficial for improvement of mechanical properties but the glass coating considerably affects magnetic properties of NiMnGa microwires. Therefore special attention must be paid to annealing conditions for realization of martensitic transformation.