Additive manufacturing (AM) is very promising for the fabrication of complex parts made from shape memory alloys (SMAs). In the present study, a Ni–Ti–Hf shape memory alloy has been processed by laser beam powder bed fusion of metals (PBF-LB/M). Employing different sets of processing parameters, i.e., a variation of scanning speed, specimens characterized by various microstructures and porosities were obtained. Microstructural analysis revealed that processing of Ni–Ti–Hf SMAs at a low energy level promotes the formation of a fine-grained microstructure with numerous lack of fusion defects. Transmission electron microscopy (TEM) studies revealed that H-phase precipitates are present in any case, leading to an increase in the Ms-temperature and, thus, a phase transformation at room temperature. The thermal stability of the phase transformation behavior in different Ni–Ti–Hf as-built conditions was studied using differential scanning calorimetry (DSC). DSC analysis showed that specimens with a higher defect density are characterized by smaller thermal hysteresis.