The present study reports on direct magneto-microstructural observations made during the stress-induced martensitic transformation in Co49Ni21Ga30 alloy single crystals with optical, scanning electron, and magnetic force microscopy (MFM). The evolution of the microstructure and the associated magnetic domain morphology as a function of applied strain were investigated in the as-grown condition and after thermo-mechanical training. The results demonstrated that the stress-induced martensite (SIM) evolves quite differently in the two conditions and depending on the martensite formation mechanisms, the magnetic domain configuration was dissimilar. In the as-grown crystals two twin-related martensite variants were formed and the growth of these twin variants resulted in large strain. After thermo-mechanical training a morphology similar to a self-accommodating martensite structure was present at the initial stages of the transformation and thereafter martensite reorientation (MR) was the main transformation mechanism. The magnetic domains were found to be superimposed on the nano-scaled martensite twins in the as-grown condition, whereas training brought about the formation of domains on the order of a few microns without showing the one-to-one correspondence between domains and the twin structure. After the thermo-mechanical training detwinning at high-strain levels led to the formation of stripe-like domain structures. The ramifications of the results with respect to the magneto-microstructural coupling that may cause the magnetic shape memory effect (MSME) in Co-Ni-Ga alloys under constant external stress is addressed.