Nano-sized particles such as nano-clays can be mixed with polymers through either melt compounding or in-situ polymerization. By modifying the particle surface with various surfactants and controlling processing conditions, we are able to achieve either intercalated (partial dispersion) or exfoliated (full dispersion) nano-clay distribution in polymers with the clay content up to 35% by weight. When a blowing agent is injected into the nanocomposite in an extruder (a continuous mixer) or a batch mixer, polymeric foam can be produced. Supercritical carbon dioxide, an environmentally friendly, low-cost, non-flammable, chemically benign gas is used as the blowing agent. This process forms a microcellular foam with very high cell density (10⁹ cells/cc) and small cell size (5 microns) can be achieved by controlling the CO₂ content, melt and die temperature, and pressure drop rate.