Multi-material can have functional properties, which are not typical for the materials of which they are composed (for instance, shape-changing effect). This can be used in robotics, micromachines, aerospace, and other fields. In this work, the 316L/FeNi36 multi-material produced by selective laser melting was investigated. The results show that the interfacial zone of the multi-material exhibits mixing regions of the two alloys but no defects. The microstructure is constituted by large grains with epitaxial growth, which propagate in a directional manner from the 316L alloy through the interfacial zone to the FeNi36 region. The multi-material sample displays three different zones of chemical composition: the FeNi36 composition zone; the interfacial zone; and the 316L zone. The size of the interfacial zone is approximately 50 µm. The multi-material sample exhibits the presence of three distinct phases: γ-Fe; γ-Fe64Ni36; and α-Fe. The hardness of the FeNi36 zone is approximately 163 HV, followed by an interfacial zone with a hardness of approximately 200 HV and then, the 316L zone with a hardness of approximately 214 HV. Functional tests demonstrate that the shape-changing effect is directly correlated with the variation in the FeNi36 thermal expansion coefficient with temperature. For achieving the most pronounced shape-changing effect, the temperature range of 25–215 °C is more suitable.