Two shape-memory alloys with the nominal compositions (in wt.%) Cu–11.85Al–3.2Ni–3Mn and Cu–11.35Al–3.2Ni–3Mn–0.5Zr were prepared by selective laser melting (SLM). The parameters were optimised to identify the process window, in which almost fully dense samples can be obtained. Their microstructures were analysed and correlated with the shape-memory behaviour as well as the mechanical properties. Suction-cast specimens were also produced for comparison. Mainly, β ₁′ martensite forms in all samples, but 0.5 wt.% of Zr stabilises the Y phase (Cu₂AlZr), and its morphology depends on the thermal history and cooling rate. After annealing, the Y phase is primarily found at the grain boundaries hampering grain coarsening. Due to the relative high cooling rates applied here, Zr is mostly dissolved in the martensite in the as-prepared samples and it has a grain-refining effect only up to a critical cooling rate. The Zr-containing samples have increased transformation temperatures, and the Y phase seems to be responsible for the jerky martensite-to-austenite transformation. All the samples are relatively ductile because they mostly fracture in a transgranular manner, exhibiting the typical double yielding. Selective laser melting allows the adjustment of the transformation temperatures and the mechanical properties already during processing without the need of a subsequent heat treatment.