The present study focuses on the weldability of hot-rolled Fe–Mn–Al–Ni shape memory alloy sheets by vacuum electron beam welding. Tailored process-specific welding parameters, such as preheating with electron beam or beam oscillation during welding, allowed defect-free joining with very thin weld seams and heat-affected zones. By applying a post-weld cyclic heat treatment, abnormal grain growth can be promoted across the weld seams. However, regardless of the selected welding parameters, some specimens are characterized by the formation of smaller grains within the former fusion zone. In situ incremental strain tests reveal that the former fusion zone has only a minor influence on the functional properties and is not responsible for structural failure. Thus, electron beam welding is a promising welding technology for joining Fe–Mn–Al–Ni shape memory alloys.