The superelastic properties and stress-induced martensite (SIM) stabilization have been studied in a shape memory Ni51.1Fe16.4Ga26.3Co6.2 single crystal. The single crystal, characterized by a thermally induced forward martensitic transformation temperature around 56 °C in the initial state, has been submitted to compression mechanical testing at different temperatures well above, near and below the martensitic transformation (MT). After each mechanical test, the characteristic MT temperatures and the transformation enthalpy have been monitored by means of differential scanning calorimetry. At temperatures below MT, the stress–strain (σ–ε) curves show a large strain, around 6.0%, resulting from the detwinning process in the martensitic microstructure, which remains accumulated after unloading in the detwinned state of the sample as a typical behavior of the shape memory alloys (SMAs). After just two “σ–ε + heating” cycles the accumulation of strain was not observed any more indicating the formation of a two-way shape memory effect which consists in a spontaneous recovery of the aforementioned detwinned state of the sample during its cooling across the forward MT. Whereas the thermally induced shape recovery in conventional SMAs occurs at the fixed value of the reverse MT temperature, the heating DSC curves of the mechanically deformed martensite in the present work show a burst-like calorimetric peak at the reverse MT arising at temperatures essentially higher than the thermally activated one. This behavior is the result of the SIM stabilization effect. After a short thermal aging in the stress-free state, this effect almost disappears, showing a slight impact on the MT characteristic temperatures and the enthalpy. At temperatures higher than the transformation one, the SIM is not stabilized, as the mechanically induced martensite fully retransforms into austenite after the unloading. From the σ–ε curves, the critical stress, σc, as well as the values of Young’s moduli of martensite and austenite are determined showing linear dependences on the temperature with a slope of 3.6 MPa/°C.