Ferromagnetic Shape Memory Alloys (FSMAs) exhibit large strains by the magnetic-field-induced martensite reorientation. But, due to the high-frequency field-induced cyclic frictional martensite twin boundary motion in FSMAs, the dissipation heat can cause a large temperature rise. Thus, the output strain amplitude of FSMAs would decrease significantly if the temperature increases to be high enough to trigger the Martensite-Austenite phase transformation. Such thermal effects on the dynamic responses of FSMAs are unclear in literature because most existing dynamic experiments were performed only for a short-time period (a few seconds) to avoid the temperature rise. In this paper, systematic long-time experiments (>100 s) on a Ni-Mn-Ga single crystal are conducted at various levels of magnetic field frequency, initial compressive stress and ambient airflow velocity. It is found that, during the long-time actuation, the specimen temperature increases and then saturates at a certain level (stable temperature) while the strain oscillation evolves to a stable cycle; both the stable temperature and the stable strain amplitude depend on the frequency, the stress level and the heat exchange condition (i.e., ambient airflow velocity). Particularly, when the specimen temperature reaches a critical level to partially transform the martensite to the austenite, the output strain amplitude reduces suddenly because of less martensite reorientation. Changing the ambient heat-exchange condition (by the airflow) can modify the specimen temperature evolution to avoid the phase transformation, but it also changes the behaviors of the martensite reorientation that is sensitive to temperature. Eventually, the output strain amplitude depends on the airflow velocity non-monotonically, i.e., there exists a critical heat exchange condition to achieve the maximum stable strain amplitude. Based on the systematic experiments and a simplified one-dimensional heat-transfer model, the critical condition can be determined. The new experimental phenomena of the thermal effects can be well understood and described by the heat-transfer model. Further, instead of avoiding the temperature rise and the phase transformation, we propose to take advantage of the interaction between the temperature-induced phase transformation and the magnetic-field-induced martensite reorientation to develop a special “isothermal” FSMA actuator with a tunable output strain amplitude and a constant working temperature. This paper provides systematic experimental data and theoretical analysis for understanding the thermo-magneto-mechanical coupling in FSMAs and developing reliable high-frequency long-time running FSMA-actuators.