High transition-temperature shape memory alloy (SMA) is widely used in aviation, aerospace and weapon fields. Using commercially available Cu, Al and Fe powders, Cu–13Al–5Fe alloy with high austenite transition temperature of 356–419 °C has been fabricated by laser powder bed fusion (LPBF) and a criterion for formulating the process parameters of LPBF based on the mixture of metal powders has been established. It is found that the LPBF can refine the structure, enhance the mechanical property and shape memory effect (SME). The structure of LPBF formed Cu–13Al–5Fe alloy under the quenched state is composed of tiny β′ martensite distributing in the matrix while the shape memory recovery rate can reach to 100% at the bending sample with 100°, and the shape memory recovery strain can reach to 1.08% under the 5% pre-strain by compressive test. Besides, the compressive stress and strain are 1240 MPa and 15.65% at room temperature. Compared with the arc-melted Cu–13Al–5Fe alloy under the quenched state, its shape memory recovery strain and recovery ratio are increased by 54.2% and 65%, respectively; and its compressive stress and strain are increased by 37.32% and 70.11%, respectively. Considering that, the work provides a criterion and a method for forming the component of Cu–Al–Fe alloy by LPBF based on the mixture of metal powders.