Precursor phenomena observed prior to the martensite phase transition plays a critical role towards the understanding of important technological properties of shape memory and magnetic shape memory alloys (MSMAs). The premartensite (PM) phase, considered as the precursor state of the martensite is proven to be a thermodynamically stable phase recently (Nature Commun. 8, 1006 (2017)), necessitates a critical investigation of precursor effects in these materials. We present here an evidence for the existence of a precursor state of the PM phase in Ni2MnGa MSMA using high energy synchrotron pair distribution function (PDF) study. The precursor state embedded within the austenite matrix in the short-range ordered (SRO) regime starting from far above the actual PM phase transition. The presence of such SRO precursor states of the PM phase produces strains which couple with the ferromagnetic (FM) order parameter around TC leading to first order character of the paramagnetic to FM phase transition.