Magnetic shape memory alloys (MSMAs) are a class of active materials that de- form under magnetic and mechanical loading conditions. This work is concerned with the modeling of MSMAs constitutive responses. The hysteretic magneto-mechanical responses of such materials are governed by two major mechanisms which are variant reorientation and field induced phase transformation (FIPT). The most widely used material for variant reorientation is Ni2 MnGa which can produce up to 6% magnetic field induced strain (MFIS) under 5 MPa actuation stress. The major drawback of this material is a low blocking stress, which is overcome in the NiMnCoIn material system through FIPT. This magnetic alloy can exhibit 5% MFIS under 125 MPa actuation stress. The focus of this work is to capture the key magneto-thermo-mechanical responses of such mechanisms through phenomenological modeling. In this work a detailed thermodynamic framework for the electromagnetic interaction within a continuum solid is presented. A Gibbs free energy function is postulated after identifying the external and internal state variables. Material symmetry restrictions are imposed on the Gibbs free energy and on the evolution equations of the internal state variables. Discrete symmetry is considered for single crystals whereas continuous symmetry is considered for polycrystalline materials. The constitutive equations are derived in a thermodynamically consistent way. A specific form of Gibbs free energy for FIPT is proposed and the explicit form of the constitutive equations is derived from the generalized formulation. The model is calibrated from experimental data and different predictions of magneto-thermo-mechanical loading conditions are presented. The generalized constitutive equations are then reduced to capture variant reorientation. A coupled magneto-mechanical boundary value problem (BVP) is solved that accounts for variant reorientation to investigate the influence of the demagnetization effect on the magnetic field and the effect of Maxwell stress on the Cauchy stress. The BVP, which mimics a real experiment, provides a methodology to correlate the difference between the externally measured magnetic data and internal magnetic field of the specimen due to the demagnetization effect. The numerical results show that localization zones appear inside the material between a certain ranges of applied magnetic field. Stability analysis is performed for variant reorientation to analyze these numerical observations. Detailed numerical and analytical analysis is presented to investigate these localization zones. Magnetostatic stability analysis reveals that the MSMA material system becomes unstable when localizations appear due to non-linear magnetization response. Coupled magneto-mechanical stability analysis shows that magnetically induced localization creates stress-localizations in the unstable zones. A parametric study is performed to show the constraints on material parameters for stable and unstable material responses.