The thermally induced reversible diffusionless martensitic transformation, that governs the mechanism of shape memory alloys (SMAs), can be conveniently illustrated, on differential scanning calorimetry (DSC) curves, by a close variation loop of heat flow with temperature. Cooling-induced direct (forward) martensitic formation causes an exothermic maximum, while martensite reversion, on heating, is associated with an endothermic peak. The occurrence of diffusion-controlled phenomena is emphasized by discontinuities of heat flow variations, such as those observed in the case of Cu–Zn–Al SMAs, experiencing thermoelastic martensitic transformation. When heating such a martensitic Cu–Zn–Al SMA, four solid-state transitions were observed on DSC curves, under the form of: (1) an endothermic minimum ascribed to martensite reversion to parent phase; (2) an endothermic minimum associated with transitory formation of bainite; (3) an exothermic maximum corresponding to the precipitation of equilibrium α-phase and (4) an endothermic peak representing the order–disorder transition of parent phase. The first transition is diffusionless, while the other three are diffusion-controlled. The DSC equipment was used to investigate the effects of: (1) heat treatment temperature, (2) number of cycles of thermomechanical treatment and (3) thermal cycling within the temperature range where diffusion-controlled solid-state transitions occur in a Cu–Zn–Al SMA, the results being corroborated with that obtained by optical (OM) and transmission (TEM) electron microscopy.