Instrumented indentation has proved to be an invaluable tool to determine the small volume mechanical behaviour of shape memory alloys (SMAs). Multi-axial experiments show that SMAs can exhibit pressure sensitive martensite phase transformation, which manifests in terms of tension-compression asymmetry of the associated stress and strain. Since high magnitude of pressure can prevail during indentation, the spherical indentation response of SMAs is investigated in this work by using a constitutive model that captures the above behaviour. Finite element (FE) simulations are first performed at two temperatures (close to A
s
and above A
f
) and corresponding to different values of pressure sensitivity parameter γ
1 for a Ni-Ti SMA. It is found that the indentation load and mean contact pressure enhance at a given depth, while the residual depth at complete unloading (for temperature below A
f
) reduces with increase in γ
1. Further, the transformation zone size at a fixed load drops dramatically with increase in pressure sensitivity index. An expanding cavity model (ECM) is also developed to predict the mean contact pressure for a pressure sensitive SMA and validated against FE simulations as well as available experimental data.