Fe–Ni–Co–Al-based systems have attracted a lot of interest due to their large recoverable strain. In this study, the microstructure and thermal cycling behaviors of Fe41Ni28Co17Al11.5Ti1.25Nb1.25 (at.%) 98.5% cold-rolled alloys after annealing treatment at 1277 °C for 1 h, followed by aging for 48 h at 600 °C, were investigated. From the electron backscatter diffraction results, we see that the texture intensity increased from 9.4 to 16.5 mud and the average grain size increased from 300 to 400 μm as the annealing time increased from 0.5 h to 1 h. The hardness results for different aging heat treatment conditions show the maximum value was reached for samples aged at 600 °C for 48 h (peak aging condition). The orientation distribution functions (ODFs) displayed by Goss, brass, and copper were the main textural features in the FeNiCoAlTiNb cold-rolled alloy. After annealing, strong Goss and brass textures were formed. The transmission electron microscopy (TEM) results show that the precipitate size was ~10 nm. The X-ray diffraction (XRD) results show a strong peak in the (111) and (200) planes of the austenite (γ, FCC) structure for the annealed sample. After aging, a new peak in the (111) plane of the precipitate (γ′, L12) structure emerged, and the peak intensity of austenite (γ, FCC) decreased. The magnetization–temperature curves of the aged sample show that both the magnetization and transformation temperature increased with the increasing magnetic fields. The shape memory properties show a fully recoverable strain of up to 2% at 400 MPa stress produced in the three-point bending test. However, the experimental recoverable strain values were lower than the theoretical values, possibly due to the fact that the volume fraction of the low-angle grain boundary (LABs) was small compared to the reported values (60%), and it was insufficient to suppress the beta phases. The beta phases made the grain boundaries brittle and deteriorated the ductility. On the fracture surface of samples after the three-point bending test, the fracture spread along the grain boundary, and the cross-section microstructural results show that the faces of the grain boundary were smooth, indicating that the grain boundary was brittle with an intergranular fracture.