Elastic strain measurement by X-ray diffraction, first applied to monocrystalline materials, has been extended to the case of coarse-grained materials (that is a mean size larger than 300 pm). This technique was applied to study the martensitic transformation in a CuAlBe shape memory alloy. During a superelastic loading, the microstructure variations due to the stress-induced martensite formation are correlated to the local stress state evolution that is determined by X-ray diffraction.