Zr-Cu-Al bulk metallic glass matrix composite with the intermetallic compound ZrCu (B2) phase was fabricated. The effect of the ZrCu phase on mechanical properties and deformation behavior of the composite was investigated by compressive test. Also, phase transformation behavior of the ZrCu phase was analyzed by X-ray diffraction. Furthermore, macroscopic shape memory behavior was investigated using the composite by three point bending test. As the results, it was found that the mechanical properties of the composite depend on the volume fraction of the precipitated ZrCu phase. Compressive strength and yield stress of the composite decrease with increase of volume fraction of the ZrCu phase. On the other hand, plastic strain increases with increase of volume fraction of the ZrCu phase. In addition, it was confirmed that a stress-induced martensitic transformation of the ZrCu phase occurs by compressive stress loading. Furthermore, it was found that the composite with high volume fraction of the ZrCu phase exhibits shape memory effect.