Cu‐based shape memory alloys (Cu‐based SMAs) demonstrate prospects in active heat sinks due to their excellent thermal conductivity, high transformation temperature and low‐cost. However, their inferior mechanical properties have hindered their industrial application. Previous studies have indicated that mechanical properties can be improved by decreasing grain size and minimizing microstructural segregation, which can be achieved by laser powder bed fusion (LPBF) process. This work investigates the influence of process parameters on the processability, microstructure, and shape memory effect (SME) of 81.95Cu‐11.85Al‐3.2Ni‐3Mn (wt. %) thin‐walled samples fabricated by LPBF. Results reveal that laser power and scanning speed significantly affected the relative density of the Cu‐based SMA thin‐walled samples, higher laser power and scanning speed contributed to better processability. Additionally, the high cooling rate during the LPBF process facilitated the formation of β1’ martensite without requiring post‐treatment, and the size of the β1’ martensite decreased with increasing scanning speed. In bending‐recovery experiments, specimens fabricated at higher scanning speed exhibited the highest SME recovery rate and bending angle. Moreover, the test confirms that Cu‐based SMA formed at lower scanning speeds exhibited even higher thermal conductivity. This work shows the potential of fabricating high‐performance Cu‐based SMA components by LPBF.This article is protected by copyright. All rights reserved.