Microcellular foaming of a (methyl methacrylate)–(butyl acrylate)–(methyl methacrylate) triblock copolymer was carried out by means of supercritical CO2 in a single-step process. The experiments were performed at 40 °C using a pressure of 300 bar (30 MPa) during 24 h. The depressurization times were modified from 2 to 30 min, leading to cell sizes from 10 to 100 µm, and relative densities from 0.11 to 0.17. It was found that the key parameter to control cell size and density was depressurization time: longer depressurization times generated larger cell sizes and lower densities. The thermal conductivity of these materials was measured using the transient plane source technique, and it was found that this decreased as the density was reduced. Various models for the prediction of thermal conductivity by conduction were tested. It was found that all the models underestimated the experimental results due to a significant contribution of radiation heat flow for these material