The martensitic transformation temperature (Ms) of shape memory alloys plays a crucial role in their performance. To achieve rapid prediction of Ms in shape memory alloys, this study employs machine learning techniques, using NiTi-based SMAs, the most widely used type, as an example. The results show that the gradient boosting machine algorithm provides the best prediction accuracy, with an R² of 0.92 and a mean absolute error (MAE) of 23.42 °C on the test set. Through correlation analysis, recursive feature elimination, and exhaustive search methods, six key features were identified. Subsequently, SHapley Additive exPlanations (SHAP) values were introduced to analyze the model interpretability, revealing the feature importance ranking and the dependence relationship between features and SHAP values. To address the issue of low Ms in NiTi-based shape memory alloys, the concept of high-entropy alloys was introduced. The study designed a TiZrHfNiCu high-entropy shape memory alloy and efficiently screened alloy compositions using the predictive model. This approach successfully increased the Ms, with the Ti19Zr19Hf19Ni37Cu6 alloy exhibiting an Ms exceeding 400 °C, significantly enhancing high-temperature application performance.