In this study, we investigated the shape memory behavior and phase transformations of solution-treated Fe43.61Mn34.74Al13.38Ni8.27 alloy between room temperature and 1173 K (900 °C). This alloy exhibits the reverse shape memory effect resulting from the phase transformation of α (bcc) → γ (fcc) between 673 K and 1073 K (400 °C and 800 °C) in addition to the shape memory effect resulting from the martensitic reverse transformation of γ′ (fcc) → α (bcc) below 673 K (400 °C). There is a high density of hairpin-shaped dislocations in the α phase undergoing the martensitic reverse transformation of γ′ → α. The lath γ phase, which preferentially nucleates and grows in the reversed α phase, has the same crystal orientation with the reverse-transformed γ′ martensite. However, the vermiculate γ phase, which is precipitated in the α phase between lath γ phase, has different crystal orientations. The lath γ phase is beneficial to attaining better reverse shape memory effect than the vermiculate γ phase.