Multiple magnetic and structural phase transitions and magnetocaloric effect of Ni43Mn46Sn9Ge2 Heusler alloy were detailedly investigated. The martensitic and inverse-martensitic transitions occur at temperatures slightly below room temperature, which induces a ferromagnetic - antiferromagnetic transition and large inverse magnetocaloric effect. A paramagnetic - ferromagnetic and antiferromagnetic - ferromagnetic transition was observed in high-temperature austenitic and low-temperature martensitic phase, respectively. The evident thermomagnetic irreversibility at low temperatures of the martensitic phase suggests a reentrant spin glass state, which originates from the frustration of the competing ferromagnetic and antiferromagnetic spins and results in the visible exchange bias, large coercivity and double-shifted hysteresis behaviors. A T-μ0H phase diagram was finally constructed.