Columnar-grained Cu71.7Al18.1Mn10.2 shape memory alloy (SMA) was prepared by a directional solidification method and exhibited a high superelasticity of 8.18% and excellent ductility at room temperature, which provided the possibility of obtaining high shape memory. However, proper pre-deformation is an essential part of repeatedly obtaining large and stable shape change. In this paper, one-time uniaxial tensile pre-deformation was carried out at the temperature range −70–−80 °C. Then, the two-way shape memory effect (TWSME) of the alloy was evaluated by the martensitic transformation strain (εM) which was measured by a thermal expansion test to investigate the relationship between the pre-deformation strain (εT) and the TWSME. The results showed that εM of the columnar-grained Cu71.7Al18.1Mn10.2 alloy increased at first and then decreased with the increase of εT. The maximum value 2.91% of the εM could be reached when εT was 6%. The effects of the εT on transformation temperatures were also measured by differential scanning calorimetry. Based on the variations of transformation temperatures, the relationship between the internal stress induced by the pre-deformation process and the εM, and the influence mechanism of the pre-deformation strain on the TWSME in columnar-grained Cu71.7Al18.1Mn10.2 alloy, were discussed. The results obtained from this work may provide reference for potential applications of Cu-based SMAs, such as self-control components, fasteners, etc.