The martensitic transformation and strain nanodomain were studied in the Ti40.7Hf9.5Ni44.8Cu5 shape memory alloy, whose grain size varied from 130 μm to 160 nm. The largest average grain size (600 μm in length and 130 μm in diameter) was found in the CAST sample. The grains with the smallest size (160 nm) formed during the crystallisation of thin ribbons obtained by the melt spinning technique from the Ti40.7Hf9.5Ni44.8Cu5 ingot (labelled as RIBBON). The average grain size (16 μm) was observed in the sample subjected to high-pressure torsion and post-deformation annealing (labelled as HPT). It was found that the CAST and HPT samples included the NiTi-based matrix and the Ti2Ni-type precipitates, whereas the RIBBON sample contained the NiTi-based matrix only. Regardless of the grain size, all samples underwent the B2 ↔ B19’ transformation on cooling and heating. A decrease in grain diameter from 130 μm to 160 nm decreased the transformation temperatures by more than 100 °C but did not affect the sequence of the transformation. The strain nanodomains formed in all samples on cooling prior to the forward martensitic transformation. The smaller the grain size, the larger the temperature range of the strain nanodomain existence. On heating of HPT and RIBBON samples, the B19 phase transformed to the B2 phase with strain nanodomains, which disappeared only on heating over 120 °C. The influence of grain size on the martensitic transformation and strain nanodomains was analysed from the thermodynamics approach.