Additive manufacturing (AM) enables complex structures of Ni-Mn-X Heusler alloys to be utilized in solid state refrigeration systems. Here, the laser powder bed fusion (L-PBF) technique was used to fabricate a Ni-Mn-Sn-Co magnetic shape memory alloy with sophisticated geometries. Relative densities ranging from 96.12 to 97.04% were attained. L21–ordered austenite and an average structure of 5-layered modulated (5 M) martensite were observed at ambient temperature. The nonequilibrium solidification condition and repeated remelting processes during L-PBF gave rise to a strong 〈001〉A texture in austenite with epitaxial columnar grains along the build direction and dendrites related to microsegregation. Furthermore, the austenite exhibited nanodomains in its matrix and the martensite possessed stacking-mediated structures with 4–7 layers of atoms randomly stacked within the twin substructures. The combined influence of relatively homogeneous composition and specific microstructures yielded a competitive magnetization difference of 81.0 A·m2·kg–1 and a maximum magnetic entropy change of about 14 J·kg–1·K–1 with a working temperature interval of about 22 K under the external field change of 5.0 T without any heat treatment. The as-built state alloy is expected to facilitate the development of new laser AM techniques for Ni-Mn-X alloys.