Additive manufacturing (AM) constitutes the new paradigm in materials processing and its use on metals and alloys opens new unforeseen possibilities, but is facing several challenges regarding the design of the microstructure, which is particularly awkward in the case of functional materials, like shape memory alloys (SMA), as they require a robust microstructure to withstand the constraints appearing during their shape change. In the present work, the attention is focused on the AM of the important Fe-Mn-Si-based SMA family, which is attracting a great technological interest in many industrial sectors. Initially, an overview on the design concepts of this SMA family is offered, with special emphasis to the problems arising during AM. Then, such concepts are considered in order to experimentally develop the AM production of the Fe-20Mn-6Si-9Cr-5Ni (wt%) SMA through laser powder bed fusion (LPBF). The complete methodology is approached, from the gas atomization of powders to the LPBF production and the final thermal treatments to functionalize the SMA. The microstructure is characterized by scanning and transmission electron microscopy after each step of the processing route. The reversibility of the epsilon martensitic transformation and its evolution on cycling are studied by internal friction and electron microscopy. An outstanding 14% of fully reversible thermal transformation of epsilon martensite is obtained. The present results show that, in spite of the still remaining challenges, AM by LPBF offers a good approach to produce this family of Fe-Mn-Si-based SMA, opening new opportunities for its applications.