A Ti-matrix composite reinforced by a TiPd-based shape memory alloy (SMA) with the composition of Ti-25at.%Pd-24at.%Ni-1at.%W was fabricated by sheath rolling of the SMA plates (whose austenite start temperature was 465 K) and Ti matrix plates, which were alternatively laminated and inserted in a SUS304 stainless steel pipe before rolling. Heat-treated sheath-rolled composite was found to have a multi-layered interface structure between the SMA plate and Ti plates. The thermomechanical behavior of the composite was investigated experimentally and analytically. The 0.5% yield stresses of the composite increased with increasing temperature at temperatures higher than A s (0). This stress behavior could be explained based on a one-dimensional analytical model. Hence, it can be concluded that the stress increase is caused by the accumulation of residual compressive stress formed in the matrix by a martensite-to-austenite transformation of the SMA during heating and the yield stress increase of the SMA at high temperature.