The dynamical response of systems with shape memory alloy (SMA) elements presents a rich behavior due to their intrinsic nonlinear characteristic. SMA’s nonlinear response is associated with both adaptive dissipation related to hysteretic behavior and huge changes in properties caused by phase transformations. These characteristics are attracting much technological interest in several scientific and engineering fields, varying from medical to aerospace applications. An important characteristic associated with dynamical response of SMA system is the jump phenomenon. Dynamical jumps result in abrupt changes in system behavior and its analysis is essential for a proper design of SMA systems. This paper discusses the nonlinear dynamics of a one degree of freedom SMA oscillator presenting pseudoelastic behavior and dynamical jumps. Numerical simulations show different aspects of this kind of behavior, illustrating its importance for a proper understanding of nonlinear dynamics of SMA systems.