Prediction of the mechanical behavior of thin foils (~25 µm) requires special characterization techniques. The current work is focused on the mechanical and microstructural characterization of 25 µm HAVAR alloy foils following annealing, cold rolling, and subsequent heat treatments, using small punch testing (SPT), X-ray diffraction (XRD), and transmission-scanning electron microscopy (TEM). The SPT technique revealed that the annealed specimens exhibited the largest maximal load to failure and deformation (more than two-fold), compared to the cold rolled and heat treated conditions. The microscopy observations revealed high dislocation density following cold rolling and subsequent heat treatments. Following annealing, a cubic crystallographic structure (FCC) with equiaxed grains and a limited dislocation population was observed. Following cold rolling and subsequent thermal treatment, a preferred orientation texture (i.e., ‘deformation texture’) was observed with a very high dislocation density. The correlation between the mechanical behavior and the microstructural observations is discussed in detail.