Micro-pillars oriented in austenite along [100], [110], and [111] crystallographic directions were fabricated on the corresponding edges of a single crystalline plate of the Ni48Fe20Co5Ga27 magnetic shape memory alloy exhibiting martensitic transformation (MT) at 150 K. Superelastic behavior of pillars, due to micro-compression-induced MT, was investigated at different temperatures from 298 K to 373 K. At room temperature, Young’s moduli of the [100], [110], and [111] pillars in austenite are equal to 5.3 GPa, 7.9 GPa, and 9.9 GPa, respectively, resulting in the linear dependences of the elastic strain reaching up to the record-breaking value of 10%. On increasing temperature, the stress–strain dependencies exhibit changes that are interpreted in terms of the critical behavior on approaching to the end points on the martensite–austenite stress–temperature phase diagrams.