In the present work blends of polystyrene (PS) with sepiolites have been produced using a melt extrusion process. The dispersion degree of the sepiolites in the PS has been analyzed by dynamic shear rheology and X-ray microcomputed tomography. Sepiolites treated with quaternary ammonium salts (O-QASEP) are better dispersed in the PS matrix than natural sepiolites (N-SEP) or sepiolites organo-modified with silane groups (O-SGSEP). A percolated network is obtained when using 6.0 wt% of O-QASEP, 8.0 wt% of N-SEP and 10.0 wt% of O-SGSEP. It has been shown that multiple extrusion processes have a negative effect on the polymer architecture. They produce a reduction in the length of the polymeric chains, and they do not lead to a better dispersion of the particles in the polymer matrix. Foams have been produced using a gas dissolution foaming process, where a strong effect of the dispersion degree on the cellular structure of the different foams was found. The effects on the cellular structure obtained by using different types of sepiolites, different contents of sepiolites and different extrusion conditions have been analyzed. The foams produced with the formulations containing O-QASEP present the lowest cell size and the most homogeneous cellular structures.