In this work, two different approaches were followed to obtain Cu-Al-Ni thin films with shape memory potential. On the one hand, Cu-Ni/Al multilayers were grown by magnetron sputtering at room temperature. To promote diffusion and martensitic/austenitic phase transformation, the multilayers were subjected to subsequent heat treatment at 800 °C and quenched in iced water. On the other hand, Cu, Al, and Ni were co-sputtered onto heated MgO (001) substrates held at 700 °C. Energy-dispersive X-ray spectroscopy, X-ray diffraction, and transmission electron microscopy analyses were carried out to study the resulting microstructures. In the former method, with the aim of tuning the thin film’s composition, and, consequently, the martensitic transformation temperature, the sputtering time and applied power were adjusted. Accordingly, martensitic Cu-14Al-4Ni (wt.%) and Cu-13Al-5Ni (wt.%) thin films and austenitic Cu-12Al-7Ni (wt.%) thin films were obtained. In the latter, in situ heating during film growth led to austenitic Cu-12Al-7Ni (wt.%) thin films with a (200) textured growth as a result of the epitaxial relationship MgO(001)[100]/Cu-Al-Ni(001)[110]. Resistance versus temperature measurements were carried out to investigate the shape memory behavior of the austenitic Cu-12Al-7Ni (wt.%) thin films produced from the two approaches. While no signs of martensitic transformation were detected in the quenched multilayered thin films, a trend that might be indicative of thermal hysteresis was encountered for the epitaxially grown thin films. In the present work, the differences in the crystallographic structure and the shape memory behavior of the Cu-Al-Ni thin films obtained by the two different preparation approaches are discussed.