A high filling load (62% weight) printable magnetic composite has been successfully elaborated from the dispersion of Ni45Mn36.7In13.3Co5 alloy microparticles into a PCL polymer matrix. The composite material has been prepared by solution method, resulting in a very homogeneous particles dispersion into the matrix. The structural transitions in the polymer do not seem to be affected by the addition of the metallic microparticles, which in turn results in a significant increase of the mechanical consistency. The good ductility of the elaborated composite allows its extrusion in flexible printable filaments, from which 3D pieces with complex geometries has been grown. The high measured magnetocaloric response of the composite and the possibility to print high surface/volume ratio geometries make this material a promising candidate for the development of heat exchangers for clean and efficient magnetic refrigeration applications. Furthermore, numerical simulations confirm that, in terms of heat transference, a bulk Ni-Mn-In-Co cubic piece may be even less efficient than a PCL/Ni-Mn-In-Co wire containing the same amount of magnetic active material.