Most relevant to predicting the behavior of shape-memory-alloy (SMA)-based actuator-sensor applications activated by Joule heating are the electro-mechanical characteristics of the material under consideration. For a comprehensive characterization, a single setup that is able to provide all relevant data and information is desirable. This work covers the design, implementation and validation of such a high-end test bench for the holistic characterization of SMA micro-wires. In addition, the setup provides the possibility of application simulation experiments. Key elements of the design are the clamping mechanism guided on air bearings, a linear direct drive, a high-resolution load cell, a high-precision constant current source and a stress-controlled in-line wire sample installation. All measurements take place inside an isolated, temperature-controlled chamber. With the presented setup, the electro-mechanical and thermal characteristics of SMA wire samples with diameters from 20 µm to 100 µm can be determined. Via hardware-in-the-loop (HiL) implementation, the outputs with different biasing mechanisms and additional end-stops can be simulated even at high ambient temperatures. The generated results facilitate the prediction of the exact characteristics of SMA-driven actuator-sensor systems in a variety of applications and lead to a better general understanding of the alloy’s properties. All functionalities and features of the setup are presented by discussing the results of exemplary experiments.