A consistent analysis of the entropy change that accompanies the martensitic transformation (MT) of ferromagnetic shape memory alloys has been carried out using the Landau theory of phase transitions. The interrelation between the values of entropy change and the widths of the temperature intervals of MTs, observed in experiments with different alloys, was described. General theoretical expressions for the non-magnetic and magnetic parts of the total entropy change were obtained and then applied to the Ni–Mn–Ga and Ni–Fe–Ga shape memory alloys. For Ni–Mn–Ga alloys the theoretical values of the magnetic parts of entropy changes appeared to be close to the measured total entropy changes. This fact demonstrated the crucial role of the interaction between the magnetic and elastic subsystems of these alloys in the thermodynamic characteristics of MTs. A theoretical estimation of the magnetic entropy change has been obtained from the experimental temperature dependence of magnetization of a Ni–Fe–Ga alloy.