Thermoplastic polyurethane (TPU) has excellent extensibility, high abrasion resistance, good elastic resilience, and biocompatibility, and the fabrication of cellular TPU thin film by an environmentally friendly method is attractive in both the academic and industrial communities. In this work, by a novel constrained surface diffusion foaming method, cellular TPU thin films with thicknesses of 10-40 mu m were prepared using CO2 as the physical blowing agent for the first time. The TPU thin film was sandwiched by two polyimide (PI) films via compression molding. The PI films reduced the gas escape, which ensured the nudeated bubbles grew steadily and then produced cellular TPU thin film with special structure, i.e., the microcellular structure within the thin film and the micro/nanocellular bubbles on the surface of TPU thin film by the physical foaming for the first time. Furthermore, our morphological observations showed that the foam morphology in the cross section can be easily changed by adjusting the processing parameters. This interesting structure endowed the TPU thin film with improved elasticity and good thermal insulation performance. The hysteresis loss decreased by 21% (from 51.6 to 40.7%), and the thermal conductivity reduced by 37% (from 0.257 to 0.162 W(m.K)(-1)).