The author aimed to enhance the functional characteristics of the proposed Ti–Ni shape memory alloy (SMA) with a functionally graded property by ultrasonic shot peening (USP) treatment. To the author’s knowledge, this was the first study in which USP treatment was utilized for manufacturing functionally graded SMAs; previous studies relied on powder metallurgy and hot rolling techniques. By examining the various properties of the specimens, the author confirmed the effects of hot rolling and USP treatment. Hot rolling and USP treatment led to an increased Vickers hardness. Hot rolling primarily contributed to densification, while USP treatment induced work hardening, resulting in increased hardness. The surface of TiNi SMA sintered bodies experienced compressive residual stress up to 300 MPa because of the USP treatment. The transformation peaks in differential scanning calorimetry curves shifted toward lower temperatures as the Ni content increased. Therefore, the transformation properties of the functionally graded shape memory alloys were unaffected by the USP treatment. The USP treatment work-hardens the sintered TiNi SMA produced through hot rolling. The effect was more pronounced in the high-Ni-concentration region, resulting in the development of a functionally graded behavior of deformation resistance.