A facile manufacturing method to enable the in situ foam 3D printing of thermoplastic materials is reported. An expandable feedstock filament was first made by incorporation of thermally expandable microspheres (TEMs) in the filament during the extrusion process. The material formulation and extrusion process were designed such that TEM expansion was suppressed during filament fabrication. Polylactic acid (PLA) was used as a model material, and filaments containing 2.0 wt % triethyl citrate and 0.0–5.0 wt % TEM were fabricated. Expandable filaments were then fed into a material extrusion additive manufacturing process to enable the in situ foaming of microcellular structures during layer deposition. The mesostructure, cellular morphology, thermal behavior, and mechanical properties of the printed foams were investigated. Repeatable foam prints with highly uniform cellular structures were successfully achieved. The part density was reduced with an increase in the TEM content, with a maximum reduction of 50% at 5.0 wt % TEM content. It is also remarkable that the interbead gaps of mesostructure vanished due to the local polymer expansion during in situ foaming. The incorporation of TEM and plasticizer only slightly lowered the critical temperatures of PLA, that is, glass-transition, melting, and decomposition temperatures. Moreover, with the introduction of foaming, the specific tensile strength and modulus decreased, whereas the ductility and toughness increased severalfold. The results unveil the feasibility of a novel additive manufacturing technology that offers numerous opportunities toward the manufacturing of specially designed structures including functionally graded foams for a variety of applications.