Compared with the cumbersome traditional manufacturing processes, the fused filament fabrication (FFF) 3D printing technology can freely fabricate complex porous parts, but cannot produce microcellular structures, and suffers from inherent poor interfacial adhesion and anisotropy due to periodic heating. Herein, a novel micro‐extrusion CO2‐foaming process is applied in the FFF process, and foamed 3D printed polyetherimide (PEI) parts with internal microcellular structure are fabricated. The tensile strength of the foamed part with a density of 0.85 g cm−3 is 42.8 MPa, which was significantly higher than 22.6 MPa for the unfoamed counterpart. Moreover, the side length of periodic triangular voids between raster is reduced from 207 to 105 μm, and the degree of anisotropy is reduced from 79.5% to 13.8%. CO2 plasticization leads to a reduction in glass‐transition temperature and viscosity of polymer systems, and the diffusion and entanglement of interfacial molecular chains are facilitated by the increase in contact area and pressure caused by foaming and expansion. The micro‐extrusion CO2 foaming endows the 3D printed parts with lightweight, internal microcellular structure, enhanced interface bonding, and isotropic mechanical properties, which will broaden the application scopes of FFF‐3D printing technology.