Gradient stiffness structures are increasingly recognized for their excellent energy absorption capabilities, particularly under challenging loading conditions. Most studies focus on varying the thickness of the structure in order to produce gradient stiffness. This work introduces an innovative approach to design honeycomb architectures with controlled gradient stiffness along the out-of-plane direction achieved by materials’ microstructure variations. The gradient is achieved by combining three types of thermoplastic polyurethane (TPU) materials: porous TPU, plain TPU, and carbon fiber (CF)-reinforced TPU. By varying the material distribution across the honeycomb layers, a smooth transition in stiffness is formed, improving both mechanical resilience and energy dissipation. To fabricate these structures, a dual-head 3D printer was employed with one head printed processed TPU with a chemical blowing agent to produce porous and plain sections, while the other printed a CF-reinforced TPU. By alternating between the two print heads and modifying the processing temperatures, honeycombs with up to three distinct stiffness zones were produced. Compression testing under out-of-plane loading revealed clear plateau and densification regions in the stress–strain curves. Pure CF-reinforced honeycombs absorbed the most energy at stress levels above ~4.5 MPa, while porous TPU honeycombs were more effective under stress levels below ~1 MPa. Importantly, the gradient stiffness honeycombs achieved a balanced energy absorption profile across a broader range of stress levels, offering enhanced performance and adaptability for applications like protective equipment, packaging, and automotive structures.