In this work, the aim was to investigate how the deformation by cold rolling affects the microstructure and transformation temperatures of Fe-14Mn-6Si-9Cr-5Ni alloy prepared by powder metallurgy route. The characteristic of the martensitic transformation in the given alloy composition was investigated in terms of the amount of deformation via cold rolling. Mechanical alloying was applied for reaching better chemical homogenization level in powder state and for this purpose the as-blended powder mixture having target composition was mechanical alloyed for 4 h under protective atmosphere. Compacted samples were sintered at 1150 A degrees C for 2 h under Ar atmosphere. After applying different amounts of cold deformation to the sintered samples, the changes in microstructure of the shape memory alloys were characterized by x-ray diffraction and scanning electron microscopy. With increasing amount of cold deformation, shape memory recovery ratios increased remarkably and epsilon-martensite phase was simultaneously detected during phase analysis.