Nowadays, some compositions of Cu-Zn-Al alloys are commercially available with the potential to present shape memory properties after a suitable thermomechanical treatment. Applied as sensor and/or actuator, the smallest product of Cu-based shape memory alloys (SMA) are wires 0.5 mm in diameter. This paper focuses on Cu-25.3Zn-4.0Al (wt%) wires, 0.5 mm in diameter, that were supplied by Societé Tréfimetaux (France) in a cold drawn condition, without any martensitic transformation. After betatization heat treatment of the SMA wires, physical characterization was carried out through an optical micrograph, DSC and x-ray diffraction while the thermomechanical behavior of the samples was verified by thermal cycling under a constant load. The results obtained have demonstrated the appearance of a two-step transformation which causes an important change in the strain-temperature behavior. This phenomenon is rarely observed in these Cu-Zn-Al SMA.