Graded structures and nanocellular polymers are two examples of advanced cellular morphologies. In this work, a methodology to obtain low‐density graded nanocellular polymers based on poly(methyl methacrylate) (PMMA)/thermoplastic polyurethane (TPU) blends produced by gas dissolution foaming is reported. A systematic study of the effect of the processing condition is presented. Results show that the melt‐blending results in a solid nanostructured material formed by nanometric TPU domains. The PMMA/TPU foamed samples show a gradient cellular structure, with a homogeneous nanocellular core. In the core, the TPU domains act as nucleating sites, enhancing nucleation compared to pure PMMA and allowing the change from a microcellular to a nanocellular structure. Nonetheless, the outer region shows a gradient of cell sizes from nano‐ to micron‐sized cells. This gradient structure is attributed to a non‐constant pressure profile in the samples due to gas desorption before foaming. The nucleation in the PMMA/TPU increases as the saturation pressure increases. Regarding the effect of the foaming conditions, it is proved that it is necessary to have a fine control to avoid degeneration of the cellular materials. Graded nanocellular polymers with relative densities of 0.16–0.30 and cell sizes ranging 310–480 nm (in the nanocellular core) are obtained.