Additive manufacturing (AM), as a revolutionary technology, enables the fabrication of complex shape memory alloy (SMA) components with unprecedented degrees of freedom, thus providing tremendous opportunities for developing modern manufacturing and transforming traditional manufacturing. Herein, this review aims to broaden ideas for preparing AM-built SMAs with high performance and multifunctionality through elucidating of the current advancements from the perspectives of the microstructure, properties, and prospects. It is concluded that the columnar grains formed by epitaxial solidification, and the prominent microstructure characteristics during printing, are modulated by different scanning parameters. The combined effects of microstructures, such as precipitates, dislocations, twins and stacking faults, can lead to desirable materials with excellent and stable shape memory effect and superelastic effect. Finally, further breakthroughs in materials, technologies, properties and methods are needed to facilitate applicability in various industries.