Alloys with a gradient structure (GS) exhibit a superior combination of strength and ductility. However, the effects of treatment temperature and stacking fault energy on the tensile behavior and microstructure evolution of GS alloys have not been systematically investigated. In this study, GS Cu-Al-Zn alloys with different stacking fault energy (SFE, 40/7 mJ/m2) were prepared using surface mechanical attrition treatment (SMAT) at cryogenic and room temperature, respectively. The microstructure results indicate that more stacking faults and deformation twins were activated in the SFE-7 alloys at cryogenic temperature, which led to higher strength compared to that of the alloys SMAT-ed at room temperature. In addition, it was found that the yield strength and hetero-deformation-induced (HDI) stress of the SFE-7 alloy were significantly higher than those of the SFE-40 alloy, resulting in a good combination of strength and ductility. Furthermore, more dispersed strain bands were observed in the SFE-7 sample during whole tensile deformation, which contributes to higher ductility.