Different fragments of a hot-rolled and homogenized Cu-Zn-Al shape memory alloy (SMA) were subjected to thermal cycling by means of a differential scanning calorimetric (DSC) device. During thermal cycling, heating was performed at the same constant rate of increasing temperature while cooling was carried out at different rates of decreasing temperature. For each cooling rate, the temperature decreased in the same thermal interval. During each cooling stage, an exothermic peak (maximum) was observed on the DSC thermogram. This peak was associated with forward martensitic transformation. The DSC thermograms were analyzed with PROTEUS software: the critical martensitic transformation start (Ms) and finish (Mf) temperatures were determined by means of integral and tangent methods, and the dissipated heat was evaluated by the area between the corresponding maximum plot and a sigmoid baseline. The effects of the increase in cooling rate, assessed from a calorimetric viewpoint, consisted in the augmentation of the exothermic peak and the delay of direct martensitic transformation. The latter had the tendency to move to lower critical transformation temperatures. The martensite plates changed in morphology by becoming more oriented and by an augmenting in surface relief, which corresponded with the increase in cooling rate as observed by scanning electron microscopy (SEM) and atomic force microscopy (AFM).