The sensitivity enhancement of piezocomposites can realize new applications. Introducing a cellular structure into these materials decreases the permittivity and thus increases their sensitivity. However, foaming of piezocomposites is challenging because of the high piezoceramic loading required. In this work, heat-expandable microspheres were used to fabricate thermoplastic polyurethane (TPU)/lead zirconate titanate (PZT) composite foams with a wide range of PZT content (0 vol % to 40 vol %) and expansion ratio (1–4). The microstructure, thermal behavior, and dielectric properties of the foams were investigated. Composite foams exhibited a fine dispersion of PZT particles in the solid phase and a uniform cellular structure with cell sizes of 50–100 μm; cell size decreased with an increase in the PZT content. The total crystallinity of the composites was also decreased as the foaming degree increased. The results showed that the relative permittivity (ε_r) can be effectively decreased by an increase in the expansion ratio. A maximum of 7.7 times decrease in ε_r was obtained. An extended Yamada model to a three-phase system was also established and compared against the experimental results with a relatively good agreement. This work demonstrates a method to foam highly loaded piezocomposites with a potential to enhance the voltage sensitivity.