A poly(methyl methacrylate) (PMMA) and nanoclay composite was dispersed into polystyrene (PS) using a twin-screw extruder. The mixture was then batch foamed with supercritical CO2. It was found that the cell density of foams based on the blend is higher than that based on the weight average of the two pure polymer components at the same foaming conditions. The cell size decreases and the cell density increases with the increase of the PMMA domain size. One explanation is that the large PMMA domains serve as a CO2 reservoir and the nucleation in the PS phase is enhanced by the diffusion Of CO2 from the PMMA phase to the PS phase. Very small PMMA domains cannot function as a CO2 reservoir, and so they are not able to facilitate the nucleation. A much higher cell density and smaller cell size were observed when nanoclay was located at the interface of the PMMA and the PS domains, serving as the heterogeneous nucleating agents.