The crystallographic anisotropy of elastocaloric effect (ECE) and relative cooling power (RCP) in Ni54Fe19Ga27 shape memory alloy single crystals are studied via compression tests. Single crystals are studied along the [001], [123], and [011] austenite directions and yield different ECE behaviors and maximum RCPs for various strain levels. A thermodynamic framework using the Helmholtz free energy is employed to analyze the total entropy change as a function of strain. Thermodynamic losses are computed from the mechanical hysteresis of superelasticity experiments to quantify the strain dependent RCP. It is found that the [001] orientation generates the highest maximal RCP of 738 J kg−1 when unloaded from 200 MPa. This is attributed mainly to the large superelastic temperature window of 45 K. However, loading the crystals to stresses higher than 200 MPa causes a multistep transformation in the [011] direction, thus reducing the alloy's overall RCP by 135 J kg−1. This is a consequence of the negative entropy change and large transformation hysteresis generated by the second‐stage transformation in the [011] direction. Interestingly, if only the first‐stage transformation in [011] is employed for the ECE, the [011] direction yields the highest RCP compared to [001] and [123] for any strain up to 3.5%.