Cellular thermoplastic structures with multiscale porosity (1–300 µm microporosity to 0.3–10 mm macroporosity) are produced from an integrated approach of 3D printing by Fused Deposition Modeling printing and Supercritical CO2 Foaming. Porous strands and related hierarchical structures are processed in one continuous step. Influence of printing parameters (e.g., deposition temperature and speed) on foam porosity and pores distribution is described for a semicrystalline food grade Poly-Lactide Acid. The process is then applied to other thermoplastics filament with different mechanical properties. In particular, a composite blend of Poly-l-Lactide and βTCP (90–10) ceramic particles and a soft copolymer Poly-Lactide-co-Caprolactone are processed to print foamed strands with various internal cellular microstructures. The dynamic material transformation phenomena controlling the microstructure upon deposition and foaming are determined. This new additive manufacturing method introduces for the first time the possibility to tune cellular morphology in situ and on line, offering an unmatched freedom to design anisotropy in 3D.