A typical stress-strain relation for martensitic materials exhibits a mismatch between the nucleation and propagation thresholds leading to the formation of the nucleation peak. We develop an analytical model of this phenomenon and obtain specific relations between the macroscopic parameters of the peak and the microscopic characteristics of the material. Although the nucleation peak appears in the model as an interplay between discreteness and nonlocality, it does not disappear in the continuum limit. We verify the quantitative predictions of the model by comparison with experimental data for cubic to monoclinic phase transformation in NiTi.