The acoustic emission generated during a thermoelastic martensitic transformation, undergone by a trained Cu‐Zn‐Al alloy, has been simultaneously detected on four faces of a quasi‐cubic sample with well‐determined crystallographic orientations. The results, interpreted using the dynamic Green’s function formalism for elastic continuum media, provide the first experimental evidence that the acoustic source for thermoelastic martensitic transformations can be described in terms of a shear and a volume change effect.