In nanocellular foam production, achieving cell sizes less than 100 nm with low relative densities is challenging. In this study, poly (methyl methacrylate) (PMMA) was blended with three thermoplastic polyurethanes (TPUs) of different hardnesses to study the impact of TPUs on the nanocellular structure and foam density. The viscosity of TPU controlled the nanostructure of the blend. Blending 2 wt% TPU with PMMA generated a well-dispersed system, with the smallest TPU particle size less than 100 nm. The CO2-blown nanocellular foam possessed a bouquet-like structure with a cell density of 1016 cells/cm3. These TPU nanoparticles provided an ultrahigh nucleation efficiency of 3674 times. The unexpected increase in nucleation efficiency could be due to the well-dispersed TPU particles. Such a high nucleation efficiency created an open-cell structure with decreased strut fraction and significantly lowered the foam density. We can create a nanocellular foam with a relative density of less than 0.2 and an average cell size of less than 100. Adding 2 wt% of TPU to PMMA reduces the relative density by 32.26%, from 0.31 to 0.18.