The effect of thermal cycling on the structure of TiNi alloy in coarse-grained (CG) and ultrafine-grained (UFG) states is investigated. Thermodynamic aspects of martensitic transformations, changes in the entropy and energy of the process are considered. The change in the dissipation energy determines the change in the hysteresis of transformations in the CG and UFG states. It is noted that the UFG state is characterized by a larger increase in the elastic energy of martensite plates. The change in the elastic energy of defects is compared with the data on the structure obtained by the X-ray method. A larger increase in the density of dislocations in the CG state is a cause of an increase in the energy of defects. A slightly lower value of the dissipation energy in the UFG state and a decrease in its values in the CG state after thermal cycling confirms the data on the transformation hysteresis.