We performed in-situ transmission electron microscope observations on the unconventional ferromagnetic transition in hexagonal (Mn,Fe)2(P,Si) magneto-caloric compounds in order to understand the origin of the large thermal hysteresis that is detrimental to magnetic refrigeration. We find that the ferromagnetic transition is coupled to a martensitic-like transformation. Although crystal structure is the same for both paramagnetic (PM) and ferromagnetic (FM) phases, large lattice distortion occurs during the PM-FM transition, which induces energy barrier of about 13.6kJ/mol. Supercooling or superheating is therefore needed to overcome the energy barrier, which causes the thermal hysteresis for the ferromagnetic transition.