This article presents a detailed study of the microstructure of Iberian expanded clay lightweight aggregates (LWA). Other than more commonly used mercury porosimetry (MP) and water absorption methods, the experimental study involves optical microscopy, scanning electron microscopy (SEM), and microtomography (μ-CT). Pore connectivity and how it is deployed are shown to some degree, and the pore size spectrum is estimated. LWA are in general characterized by a dense outer shell up to 200 μm thick, encasing an inner cellular structure of 10–100 times bigger pore size. Aggregate pore sizes may span from some hundreds of nanometers up to over 1 mm, though the range of 1–25 μm is more typical. A noteworthy fraction of these pores is closed, and they are mainly up to 1 μm. It is also shown that macropore spatial arrangement is affected by the manufacturing process. A step forward is given to understanding how the outer shell and the inner pore network influence the mechanical and physical LWA properties, particularly the density and water absorption. The joint consideration of μ-CT and SEM seems to be the most appropriate methodology to study LWA microstructure. MP analysis is likely to distort LWA pore spectrum assessment.