NiTi shape memory alloys combine interesting functional and mechanical properties. Many studies describing the thermally induced martensitic transformation during cooling and heating, carried out by differential scanning calorimetry (DSC) or X-ray diffraction (XRD), have been reported before. A new approach that directly takes into account the effect of superimposed stresses on the micro-scale is presented in this study: We observe the transformation behavior during nanoindentation experiments with concomitant cooling and heating. The samples in this study were prepared from NiTi single crystals (with indentation in (100) orientation). Pole figure measurements were used to define the surface and edge orientations of our samples. Several heat treatment routines were performed in order to vary transformation temperatures and the width of thermal hysteresis in a wide range. For the indentation experiments, we used a spherical indenter tip with a radius of 20 µm. The mechanical stress locally reduces the transformation barrier and helps to trigger the nucleation and growth of the martensite. In addition, a Berkovich indenter tip was used to determine hardness and Youngs modulus values both in the austenitic and in the martensitic state of the sample. The experimental results allow to characterize the martensitic transformation during heating and cooling under local mechanical load, and to correlate the mechanical behavior to the thermal hysteresis determined by conventional DSC measurements.