Microcellular foams of polystyrene (PS), poly(styrene-co-acrylonitrile) (SAN), and poly(methyl methacrylate) (PMMA) having organically modified layered double hydroxides (LDH) were prepared using a high-pressure CO2 dissolution foaming process and characterized both structurally and thermo-mechanically. The saturation concentration of CO2 was found to increase with the incorporation of LDH nanoparticles into the PMMA, while the opposite effect was observed in the PS and SAN nanocomposites with respect to the pure polymers. The CO2 desorption diffusion coefficient substantially decreased in the nanocomposites comparatively to the respective pure polymers. The incorporation of hydrotalcite (HT) into the polymers and subsequent foaming resulted in foams with finer and more isotropic cellular structures, related to a cell nucleation effect promoted by the particles. No significant differences were found among the several foamed nanocomposites. Both PS and SAN nanocomposite foams displayed higher glass transition temperatures than the respective unfilled ones, related to a higher amount of residual CO2 in the last, favoring plasticization. The contrary effect was observed in PMMA, attributed to a combined plasticizing effect promoted by the higher affinity of PMMA for CO2 and greater interaction with the organically modified HT platelets. Although no significant differences were found among the several nanocomposite foams and respective unfilled counterparts, the incorporation of HT limited the reduction observed in the specific storage moduli with foaming, related to a finer cellular structure induced by the HT particles.