Training effect in the Fe-Mn-Si shape memory alloy is known as useful method to improve the shape memory effect. In this study, the training effects on damping capacity in Fe-20mass%Mn and Fe-20.5mass%Mn-12.5mass%Cr alloys have been investigated. As training treatments, the thermal training (only thermal cycling) and the thermo-mechanical training (thermal cycling with rolling deformation) are carried out. Internal friction was measured at room temperature using a free-decay method. Moreover, the behavior of dislocations was observed by TEM. Both training treatments improve the damping capacity of the Fe-Mn alloys with increasing the number of treatment. Strong training effect was found for the specimens trained by the thermo-mechanical training. The main training effect by thermal cycles is concluded to be due to size effects, while the size effects and volume fractional effects of martensite phase affect the damping capacity of the thermo-mechanically trained alloys. These training methods can improve both damping capacity and strength of Fe-Mn alloys.