Topological materials ranging from topological insulators to Weyl and Dirac semimetals form one of the most exciting current fields in condensed matter research. Many half-Heusler compounds have been theoretically predicted to be topological semimetals. Of these many are also superconductors, are magnetic or show Kondo behavior. Recently, experimental evidence was found for an unusual topological surface state, and a chiral anomaly that is a characteristic feature of a Weyl semimetal in lanthanide half-Heusler compounds. Here we demonstrate that the antiferromagnetic Heusler compounds GdPtBi and NdPtBi show three signatures of a chiral anomaly, namely, a large non-saturated negative magnetoresistance for fields up to 60 T, a quadratic field dependence of the magneto-conductivity, and an unusual intrinsic anomalous Hall effect, all three observed far above the magnetic ordering temperature. We show that the Weyl points are induced in a magnetic field via exchange-splitting of the conduction bands. A generic, complex magneto-transport phase diagram for magnetic topological Heusler compounds is presented that is distinguished from that of non-magnetic Heusler compounds, such as YPtBi. Our observations open the path for the study of the quantum anomalous Hall effect in magnetic Heusler compounds and of Majorana fermions in topological Heusler compounds with co-existing superconductivity. ; Comment: 18 pages and 4 figures