The analytic survey of experimental and theoretical studies of the magnetic anisotropy of ferromagnetic shape memory alloys (FSMAs) is presented. The interdependence between the magnetic anisotropy of FSMAs, their lattice parameters, microstructure, and magnetostrain properties is considered. The temperature dependencies of the magnetocrystalline anisotropy energy density (MAED) and magnetically induced mechanical stress are described in the framework of magnetoelastic model based on Landau theory of phase transitions. The magnetic anisotropy of thin martensitic platelets/films and wires is considered. The effect of compensation of magnetocrystalline anisotropy by the magnetostatic one is studied. The reduction of MAED as a result of internal twinning of single crystal is discussed. The possibility of observation of reversible magnetic-fieldinduced strain in the twinned FSMAs with reduced MAED is demonstrated.