The effects of thermally induced cyclic γ[LEFT RIGHT ARROW]ε transformation on microstructures and shape memory effect (SME) are investigated in a quenched Fe14Mn5.5Si8.0Cr5.0Ni alloy. The results show that the annealing at 773 K remarkably improves the SME in the quenched alloy. One thermal cycling between 290 and 773 K remarkably increases the SME, but the further thermal cycling hardly improves the SME. The reason is that the amount of thermal ε martensite remarkably reduces after annealing at 773 K, but it hardly changes with the further increase of thermal cycling between 290 and 773 K. The pre-existing thermal ε martensite not only prevents the occurrence of stress-induced ε martensitic transformation but also promotes the formation of α′ martensite.