This research was performed to investigate the effect of thermo-mechanical cycling (TMC) treatment on the shape memory effect (SME) of Fe-10Mn-9Cr-8Ni-5Si (wt.%) alloy. Various TMC parameters were systematically changed to study the influence of individual parameter on the SME, and to find the optimum processing condition for the best SME of the alloy. The amount of prestrain and the annealing time were the important parameters for controlling the SME, and the best shape recovery was observed at the condition of 4% prestrain and 873K/60min. annealing. It was ascertained by microstructural observation that the improvement of the SME was primarily due to the introduction of a number of defect structure such as stacking faults and dislocations. These defects increased yield stress for γ matrix, and probably acted as a favorable nucleation site for ε martensite formation.