The effect of thermal-mechanical cycle on the recovery stress of Fe-18 Mn-5Si-8Cr-4Ni shape memory alloy has been studied. Results show that the maximum recovery stress in heating, δh, will increase as the cycle number increases, when the number is below 2. A maximum value, 156 MPa, can be attained at 2, which is 108% higher than that of specimen free of cycle. When the number is over 2, δh will decease. The recovery stress at room temperature after heating, δc, increases with the increase of cycle number. A maximum value, 255 MPa, can be attained at 3, which is 70% higher than that of specimen free of cycle; however, further increase in cycle number has little effect on δc, when the number is over 3. The recovery stress of Fe-18 Mn-5 Si-8 Cr-4 Ni shape memory alloy can be improved by the thermal-mechanical cycle.