Spherical nanoparticles (NPs) of size 14 nm, made of intermetallic Fe2CoAl (FCA) Heusler alloy, are synthesized via the co-precipitation and thermal deoxidization method. X-ray diffraction (XRD) and selected area electron diffraction (SAED) patterns confirm that the present nanoalloy is crystallized in A2-disordered cubic Heusler structure. Magnetic field (H) and temperature (T) dependent magnetization (M) results reveal that the NPs are soft ferromagnetic (FM) with high saturation magnetization (Ms) and Curie temperature (Tc). Fe2CoAl nanoalloy does not follow the Slater Pauling (SP) rule, possibly because of the disorder present in the system. We also investigate its magnetic phase transition (MPT) and magnetocaloric (MC) properties. The peak value of the magnetic entropy change vs T curve at a magnetic field change of 20 kOe corresponds to about 2.65 J/kg-K, and the observed value of refrigeration capacity (RCP) is as large as 44 J/kg, suggesting a large heat conversion in magnetic refrigeration cycle. The Arrott plot and the nature of the universal curve accomplish that the FM to paramagnetic (PM) phase transition in Fe2CoAl nanoalloy is of second-order. The present study suggests that the Fe2CoAl nanoscale system is proficient, useful and a good candidate for the spintronics application and opens up a window for further research on full-Heusler based magnetic refrigerants.