We propose an explanation for the self-organization towards criticality observed in martensites during the cyclic process known as "training." The scale-free behavior originates from the interplay between the reversible phase transformation and the concurrent activity of lattice defects. The basis of the model is a continuous dynamical system on a rugged energy landscape, which in the quasistatic limit reduces to a sandpile automaton. We reproduce all the principal observations in thermally driven martensites, including power-law statistics, hysteresis shakedown, asymmetric signal shapes, and correlated disorder.