An original technique of differential thermal analysis for studying thermal properties of samples loaded with a tangential stress has been created. In a series of experiments studying the direct martensitic transformation B2 → B19′ in titanium nickelide during cooling under constant stress, it has been found that the enthalpy of transformation linearly decreases with an increase in stress and, at a stress of 100 MPa, it is 30% less than that of the sample in a free state.