Due to its numerous practical applications and intriguing phase transformation behavior, shape memory alloys (SMAs) have garnered significant research and development interests. In the past, most studies on the mechanical behavior of SMAs have been conducted under uniaxial stress loadings. Limited research on SMAs under shock loading has not provided conclusive results regarding their transformation behavior and transformation stress under such loading. Additionally, there is a lack of comprehensive understanding regarding the effects of different stress states on transformation behavior. The main objectives of this study are to address these issues. To achieve these objectives, a series of shock wave experiments were designed and conducted. Additionally, quasi-static and dynamic uniaxial stress experiments were carried out to establish a baseline for comparison. The results revealed that the transformation stress under dynamic uniaxial strain shock loading was approximately 1.92 GPa in contrast to 0.5 GPa (quasi-static) to 0.8 GPa (dynamic) observed in uniaxial stress loading. The transformation behavior exhibited noticeable rate sensitivity for both types of loading. There appeared to be a critical strain rate above which the austenite phase was driven to a metastable state. This estimated critical axial strain rate along the loading direction was approximately 2 × 103/s–4 × 103/s for uniaxial stress loading and approximately 2 × 106/s for uniaxial strain loading. The apparent high transformation stress for uniaxial strain loading can likely be attributed to a combination of high-pressure confinement and high strain rate. However, determining their relative contributions remains an open issue.