Shape memory alloys (SMA) are functional materials that are being applied in practically all industries, from aerospace, automotive, robotics and biomedical sectors, and at present the scientific and technologic communities of SMA are looking to get the advantages offered by the new processing technologies of additive manufacturing (AM). However, the use of AM to produce functional materials, like SMA, constitutes a real challenge because of the particularly well controlled microstructure required to exhibit the functional property of shape memory. Most of the efforts are being focused on AM of Ti-Ni alloys, but there is a growing interest in Cu-based SMA due to their good functional properties of shape memory and superelasticity, even at high temperature. In the present work, the design of the complete AM processing route, from powder atomization and using two different methods of AM, is developed and the finally obtained thermomechanical properties are compared to those obtained by classical powder metallurgy route, using exactly the same Cu-Al-Ni SMA powders.