In the present study, the effect of thermo-mechanical treatments on the shape memory and the superelastic characteristics of Cu73Al16Mn11 (at%) shape memory alloy were investigated. 10%, 50% and 70% cold rolling and subsequent heat treatment processes were conducted to achieve strengthening via grain size refinement. 70% grain size reduction compared to the homogenized condition was obtained using 70% cold rolling and subsequent recrystallization heat treatment technique. Moreover, 10% cold rolling was applied to homogenized specimen to reveal the influence of the low percentage cold rolling reduction with no heat treatment on shape memory properties of Cu73Al16Mn11 (at%) alloy. Stress free transformation temperatures, monotonic tension and superelasticity behaviors of these samples were compared with those of the as-aged sample. Isobaric heating-cooling experiments were also conducted to see the dimensional stability of the samples as a function of applied stress. The 70% grain-refined sample exhibited better dimensional stability showing reduced residual strain levels upon thermal cycling under constant stress compared with the as-aged material. However, no improvement was achieved with grain size reduction in the superelasticity experiments. This distinctive observation was attributed to the difference in the magnitude of the stress levels achieved during two different types of experiments which were the isobaric heating-cooling and superelasticity tests. Intergranular fracture due to the stress concentration overcame the strengthening effect via grain refinement in the superelasticity tests at higher stress values. On the other hand, the strength of the material and resistance of material against plastic deformation upon phase transformation were increased as a result of the grain refinement at lower stress values in the isobaric heating-cooling experiments.