Thermoplastic polyurethane (TPU) possesses many excellent characteristics, such as wear resistance and high resilience. The hardness of TPU can be tuned by changing the ratio or the types of hard and soft segments. In this study, TPU microcellular foam was prepared using different nucleating agents via scCO2 foaming. TPU was synthesized using 4,4’-methylene bis(phenyl isocyanate) (MDI), a polyol, and 1,4-butanediol (BD) via a pre-polymer method. Poly(tetramethylene ether) glycol (PTMEG), poly(propylene glycol) (PPG), and poly(1,4-butylene adipate) (PBA) were used as polyols. Graphene, talc, or clay was added as the nucleation agent before the chain extension step. The synthesized TPUs were foamed by one-step batch foaming using scCO2 as the blowing agent. The cell morphology of the thus-synthesized TPU foam revealed that adding the nucleation agent improved the cell structure and the appearance of TPU foams. Adding graphene may also help reduce the degradation of TPU. Under some circumstances, adding the nucleation agent may improve the expansion ratio of TPU foams.