We studied the two-step martensitic transition of a Cu-Al-Ni shape-memory alloy by calorimetry, acoustic emission (AE), and resonant ultrasound spectroscopy (RUS) measurements. The transition occurs under cooling from the cubic (β, F m3m) parent phase near 242 K to a mixture of orthorhombic 2H and monoclinic 18R phases. Heating leads first to the back transformation of small 18R domains to β and/or 2H near 255 K, and then to the transformation 2H to β near 280 K. The total transformation enthalpy is H T = 328 ± 10 J/mol and is observed as one large latent heat peak under cooling. The back-transformation entropy under heating breaks down into a large component 18R to β at 255 K and a smaller, smeared component of the transformation 2H to β near 280 K. The proportions inside the phase mixture depend on the thermal history of the sample. The elastic response of the sample is dominated by large elastic softening during cooling. The weakening of the elastic shear modulus shows a peak at 242 K, which is typical for the formation of complex microstructures. Cooling the sample further leads to additional changes of the microstructure and domain wall freezing, which is seen by gradual elastic hardening and increasing damping of the RUS signal. Heating from 220 K to room temperature leads to elastic anomalies due to the initial transformation, which is now shifted to high temperatures. The transition is smeared over a wider temperature interval and shows strong elastic damping. The shear modulus of the cubic phase is recovered at 280 K. The phase transformation leads to avalanches, which were recorded by AE and by time-resolved calorimetry. The cooling transition shows very extended avalanche signals in calorimetry with power-law distributions. Cooling and heating runs show AE signals over a large temperature interval above 260 K. Splitting the transformation into two martensite phases leads to power-law exponents ε ∼ 2 (β ↔ 18R) and ε ∼ 1.5 (β ↔ 2H ) while the phase mixture shows an effective AE exponent of 1.7.