Anomalous Hall and anomalous Nernst properties of thin MgO/Co-2Fe0.4Mn0.6Si/Pd stacks with perpendicular magnetic anisotropy (PMA) revealed the presence of the magnetic proximity effect (MPE) in the Pd layer. The MPE is evidenced by nanometer range thickness-dependent transport measurements. A three-layer model that combines bulk and interface contributions accounts for our experimental data and provides quantitative estimates for the contributions to the total anomalous Nernst voltage of the ferromagnet Heusler [+ 0.97 mu V/(K nm)] and the proximity-magnetized Pd layers [- 0.17 mu V/(K nm)]. The anomalous Nernst effect (ANE) reverses its sign by tuning the thickness of the Heusler layer, which is useful for designing ANE thermopiles.