Cu-Al-Ni shape memory alloys are promising smart materials, but their ductility has to be improved before they can be used for practical applications. In this work, we have developed a new processing method of Cu-Al-Ni alloys by powder metallurgy, which allows us to improve both the mechanical and thermo-mechanical properties of these alloys. This improvement is illustrated through a complete study of the microstructure by Scanning Electron Microscopy (SEM) with Electron Back-Scatter Diffraction (EBSD) and Transmission Electron Microscopy (TEM) of an alloy elaborated by powder metallurgy. Martensitic transformation behavior and thermo-mechanical properties have been analyzed by Internal Friction and mechanical testing, respectively.