In this paper, a new medium entropy alloy with nominal composition of Gd33Co33Al34 was designed and fabricated into microfibers by a melt-extraction method. The microstructure, thermophysical parameters, and magnetocaloric properties of the obtained fibers were systematically analyzed. The results showed that the as-cast fibers show an amorphous matrix with embedded in situ nano crystals. The fibers show a good magnetocaloric effect with the maximum magnetic entropy change of ~6 J/kg·K for a field change of 5 T. Notably, the fibers show excellent cooling efficiencies with an RCP and RC of ~611.72 and ~487.38 J/kg, respectively. Though the as-cast fibers possess an amorphous/nanocrystal bi-phase structure, they still exhibit a second-order transition near a Curie temperature of ~96 K. Our findings provide a promising pathway towards developing new magnetocaloric materials with good magnetocaloric performances.