The present study deals with the development of novel cenosphere‐epoxy multiscale syntactic foam (MSF) reinforced with halloysite nanotubes (HNTs). Cenospheres with different volume fractions (0, 20, 30, 40, 50 vol%) and HNTs (1 vol%) used in the fabrication of syntactic foams. The addition of HNTs increases the tensile modulus (42%) and flexural modulus (66%) compared with plain syntactic foam (PSF). Furthermore, FTIR studies reveal the strong hydrogen bonding interaction between HNTs and epoxy. Field emission scanning electron microscopy (FESEM) confirms the unique crack deflection phenomenon by HNT, which indicates the structure–property correlation. In addition, the storage and loss modulus of MSFs is 36 and 113%, respectively (at 30°C) higher than the neat epoxy. Improvement in the tensile and flexural properties along with excellent thermal stability at elevated temperature makes MSF a promising material for structural, weight‐sensitive, and high‐temperature applications.