In this work, uniform and graded polyolefin elastomer (POE) foams were prepared using a single-step technology based on a fixed chemical blowing agent (azodicarbonamide) concentration of 4 phr (parts per hundred rubber). The effect of molding temperature, including the average temperature (Tavg) and temperature difference (ΔT), on the foams’ morphology, mechanical properties (tension, compression and hardness) and thermal conductivity was investigated. Two series of samples were produced by fixing Tavg with different ΔT or setting different ΔT, leading to different Tavg. The morphological analyses showed that two or three regions inside the foams were produced depending on the molding conditions, each region having different cellular structure in terms of cell size, cell density and cell geometry. The results obtained for the conditions tested showed a range of density (0.55–0.72 g/cm3), tensile modulus (0.44–0.70 MPa) and compression elastic modulus (0.35–0.71 MPa), with a thermal conductivity between 0.125 and 0.180 W/m.K. Based on the information provided, it can be concluded that the foam’s properties can be easily controlled by the cellular structure and that graded samples are more interesting than uniform ones, especially for thermal insulation applications, such as packaging, construction, transportation, automotive and aerospace industries.