Direct experimental characterization of indentation-induced martensitic microstructures in pseudoelastic shape memory alloys (SMAs) is not possible, and thus there is a lack of evidence and understanding regarding the microstructure pattern and related features. To fill this gap, in this work we employ the phase-field method to provide a detailed and systematic analysis of martensitic phase transformation during nanoindentation. A recently-developed finite-element-based computational model is used for this purpose, and a campaign of large-scale 3D simulations is carried out. First, the orientation-dependent indentation response in CuAlNi (a widely studied SMA) is examined. A detailed investigation of the predicted microstructures reveals several interesting features, some of them are consistent with theoretical predictions and some can be (to some extent) justified by experiments other than micro/nanoindentation. The results also highlight the key role of finite-deformation effects and elastic anisotropy of the phases on the model predictions. Next, a detailed study of indentation-induced martensitic transformation in NiTiPd (a potential low-hysteresis SMA) with varying Pd content is carried out. In terms of hysteresis, the results demonstrate the prevailing effect of the transformation volume change over phase compatibility in the conditions imposed by nanoindentation and emphasize on the dominant role of the interfacial energy at small scales. Results of such scope have not been reported so far.