The Al contents play an exceedingly important role in Cu-Al system shape memory alloys (SMAs), and Cu-Al-Fe alloy represents the new development directions of Cu-Al system SMAs. The Cu-xAl-4Fe (x=11, 13, 15 wt.%) alloys, which take the powder core wire with a structure resistant to element burning as additive manufacturing materials, were prepared by arc melt deposition process. In this work, the as-deposited, quenched and deformed microstructure was studied in detail by utilizing OM, SEM, and XRD. The shape memory properties of the alloys were analyzed by the bending tests. The effect mechanism of the Al content on the shape memory properties of Cu-Al-Fe alloys was also investigated. Results show that the as-deposited microstructure presents sub-eutectic to hyper-eutectic characteristics with the rise in Al content. After quenching, the microstructure of 11 wt.% Al, 13 wt.% Al, and 15 wt.% Al alloys are the α' martensite, the β1' martensite, and the β1 austenite with high order degrees. Under 4% pre-strain, the shape memory recovery rate of the 13 and 15 wt.% Al alloy is 100%, but the shape memory recovery rate of 11 wt.% Al alloy is only 22.6%. However, compared with the ductility of 11 and 13 wt.% Al alloy, that of 15 wt.% Al alloy is poor, which causes failure to withstand 4% bending pre-strain. After bending deformation, cracks of 15 wt.% Al alloy along the crystals appear and cause the memory strip to break. The analysis indicates that the properties of Cu-Al-Fe alloy have an intense sensitivity to the Al element. The martensitic order degree of the alloy is elevated with the increase in the Al content, and the grain interface gradually becomes sharper. Solidification impurities are formed at the grain boundary during the additive manufacturing process due to the influence of the interface energy. At the same time, the invading O2 combines with the more active Al element to form metal oxidation, which markedly reduces the grain boundary strength and the bending strength of the alloy. As a result, the shape memory properties cannot be reflected in the case of high Al content.