In this study, the influence of film thickness on the first-order martensite–austenite phase transformation of Ni–Mn–Sn ferromagnetic shape memory alloy thin films has been systematically investigated. Different thicknesses of the Ni–Mn–Sn films (from ~100 to 2,500 nm) were deposited by DC magnetron sputtering on Si (100) substrates at 550 °C. X-ray analysis reveals that all the films exhibit austenitic phase with the L21 cubic crystal structure at room temperature. The grain size and crystallization extent increase with the increase in film thickness, but the films with thickness above ~1,400 nm show structural deterioration due to the formation of MnSn2 and Ni3Sn4 precipitates. The improvement in the crystallinity of the film with thickness is attributed to the decrease in film–substrate interfacial strain resulting in preferred oriented growth of the films. Temperature-dependent magnetization measurements as well as electrical measurements demonstrate the complete absence of phase transformation for the film of thickness of ~120 nm. For thickness greater than 400 nm, film exhibits the structural transformation, and it occurs at higher temperature with better hysteresis as film thickness is increased up to ~1,400 nm, after which degradation of phase transformation phenomenon is observed. This degradation is attributed to the disorders present in the films at higher thicknesses. Film with thickness ~1,400 nm possesses the highest magnetization with the smallest thermal hysteresis among all the films and therefore best suited for the actuators based on first-order structural phase transformation. Nanoindentation measurements reveal that the higher values of hardness and elastic modulus of about 5.5 and 215.0 GPa obtained in film of 1,014 nm thickness can considerably improve the ductility of ferromagnetic shape memory alloys (FSMA) and their applicability for MEMS applications. The exchange bias phenomenon is also found to be present in the films of thickness 1014, 1412, and 2022 nm exhibiting prominent martensitic transformation. Film of thickness 2,022 nm exhibits maximum exchange bias of ~50 Oe and higher exchange bias blocking temperature of 70 K as compared to other films.