Recently, functional applications of thermoplastic foams have received extensive attention from the research and materials communities, focusing on their various applications, key challenges, material systems designs, processing methods, and cellular structure characteristics needed for specific functional applications. This review paper starts with consideration of the microcellular foaming mechanism and basic concepts of microcellular foam processing, followed by polymer modification methods, and crucial factors that determine the performance of thermoplastic foams. Special emphasis has been placed on the synergies between foaming and reinforcements, including functional fillers and polymer blends; improvements in homogeneous, functional properties by achieving uniform cell structure and cell dispersion in polymer systems; and comparison of melt processing and solvent-based methods. Then, a wide array of advanced functional applications for foams-such as lightweight applications, heat and sound insulation, electromagnetic shielding, tissue engineering, oil spill cleanup, shape memory, and flexible materials-will be presented. In particular, the relationships between cellular structure and anticipated properties-including mechanical, barrier, dielectric, biomedical, and other properties required in advanced functional applications-will be discussed. Finally, we will outline a future perspective of lightweight and functional foams and suggest recommended future work regarding functional microcellular foams.