The aim of the paper is to study the combined effect of grain size and stress on the strain variation on cooling and heating of Ni_50.2Ti_49.8 alloy. To produce the samples with a 20–500 nm grain size, Ni_50.2Ti_49.8 alloy samples were subjected to high-pressure torsion (8 GPa, 3.5 turns)and subsequent heating. The strain variation in samples with different grain sizes was studied on cooling and heating under a tensile stress of 100–600 MPa. In the samples with 20 and 40 nm grain sizes, strain variation was found on cooling and heating if the stress was larger than some critical value, which depended on the grain size. In samples with 80–500 nm grain sizes, the strain variation on cooling under stress occurred in stages that were caused by different sequences of the martensitic transformation that depended on grain size and stress. Strain recovery always occurred in one stage and irrecoverable strain was found in all cases except for the sample with a 20 nm grain size. A reversible strain of 15% was found during cooling and heating under 400 MPa for the sample with a grain size of 130 nm. It was assumed that in this sample, the strain that appeared on cooling was caused by the forward transformation and deformation twinning that took place because plasticity was supressed in small grains. The strain that was induced by the deformation twinning was fully recoverable on subsequent heating and it gave the additional contribution to strain recovery.