Molecular dynamics simulations have been used to investigate the thermal response to a gradual temperature rise of Al core/Ni shell unsupported particles with a radius of about 4 nm and different shell thickness. The different melting points permit a clean separation of the Al and Ni solid-to-liquid transition processes, the Al core melting at temperatures at which the Ni shell still has a well defined solid character. The latent volume released by Al at melting gives rise to a considerable tensile strain in the Ni shell. The mechanical response of the latter depends on its thickness. A sudden failure and a consequent fragmentation of the core/shell system is observed at small shell thickness values.