In this article, the co-continuous hollow glass microspheres (HGMs)/epoxy resin syntactic foams were prepared by filling the HGM preforms with epoxy resin. The effects of HGM wall thickness and solid loading on the density, open porosity, and morphology of HGM preform and HGM/epoxy resin syntactic foams were studied in detail. The results show that the HGM wall thickness had no effect on the open porosity of HGM preforms. However, the density of preforms increased with the true density of HGMs. The density of HGM/epoxy resin syntactic foams decreased with the contents of HGMs, and the measured density was essentially equal to the theoretical density. The compressive strength decreased with the contents of HGM, regardless of the HGMs wall thickness. However, the variation in compressive modulus was related to the HGMs’ wall thickness. As the HGM solid loading increased, the compressive modulus of composites, prepared using thin-walled HGMs, decreased, while the composites prepared using thick-walled HGMs showed the opposite trend. The co-continuous HGM/epoxy resin syntactic foams possessed low density (0.567–1.002 g/cm3), and excellent compressive strengths (30.32–131.60 MPa). These properties were due to the elimination of matrix pores, and are a type of promising material in deep sea exploration area.