Polycrystalline Ni50Mn35In15 alloy was fabricated by arc-melting, and its martensitic transformation and magnetocaloric effect were systematically investigated with magnetic property measurement. The experimental results indicated that, with decrease of temperature, the second-order magnetic transition and the martensitic transition with characteristic of the first-order structural transition happened successively near room temperature, leading to an abrupt change of magnetization. At the same time, exchange bias was found by means of hysteresis loop measurement at low temperature, which clearly suggested coexistence of ferromagnetic and anti-ferromagnetic phases at low temperatures. In addition, a large magnetic entropy change during martensitic transition was calculated from Maxwell equations. Its value can reach 22.3 J/kg K at 309K in applied field of 5T.