The Cu–26.84Zn–5.37Al (Wt%) alloy was investigated to determine the effect of rolling temperature on microstructural evolution, dislocation density, and shape memory properties. Following fabrication and homogenization treatments (900 °C + β-phase precipitation at 500 °C), samples were plastically deformed by rolling (30% reduction) at room temperature (25 °C) and cryogenic temperature (−196 °C), followed by recrystallization at 850 °C. Complementary characterization techniques optical microscopy, XRD, DSC, Warren–Averbach analysis, nanoindentation, EIS, and potentiodynamic polarization are consistent with a higher density of lattice defects under cryogenic deformation, as indirectly indicated by XRD peak broadening, mechanical hardening, and surface electrochemical reactivity. Warren–Averbach analysis revealed a 51% reduction in crystallite size (453.4 Å → 223.7 Å). Nanoindentation confirmed superior strain hardening, constituting the principal evidence for this trend; complementary, exploratory electrochemical studies further indicated increased surface reactivity in the deformed samples, consistent with though not independently establishing dislocations acting as preferential anodic sites. Rolling followed by recrystallization, at either room or cryogenic temperature, produced a substantial grain size reduction relative to the coarse-grained homogenized condition (≈ 3816 μm) a general outcome of the deformation recrystallization route rather than a feature unique to cryogenic processing. The distinctive contribution of cryogenic deformation is evidenced by direct comparison with room-temperature processing: recrystallized grain size decreased from 64 (room temperature) to 53 μm (cryogenic), a further ≈17% refinement attributable specifically to the suppression of dynamic recovery at low temperature. The reversible martensitic transformation, a necessary precursor for the shape memory effect, was preserved after processing, as confirmed by DSC, and thermal hysteresis decreased by 42%. These results demonstrate that cryogenic deformation followed by controlled recrystallization is an effective thermomechanical route for simultaneously optimizing grain size and functional properties in Cu–Zn–Al shape memory alloys.