A series of thermoplastic polyurethanes (TPUs) with different amounts of hard segments (HS) (40, 50 and 60 wt.%) are synthesized by a pre-polymer method. These synthesized TPUs are characterized by Shore hardness, gel permeation chromatography (GPC), differential scanning calorimetry (DSC), wide angle X-ray diffraction (WAXD), dynamic mechanical thermal analysis (DMTA), and rheology. Then, these materials are foamed by a one-step gas dissolution foaming process and the processing window that allows producing homogeneous foams is analyzed. The effect of foaming temperature from 140 to 180 °C on the cellular structure and on density is evaluated, fixing a saturation pressure of 20 MPa and a saturation time of 1 h. Among the TPUs studied, only that with 50 wt.% HS allows obtaining a stable foam, whose better features are reached after foaming at 170 °C. Finally, the foaming of TPU with 50 wt.% HS is optimized by varying the saturation pressure from 10 to 25 MPa at 170 °C. The optimum saturation and foaming conditions are 25 MPa and 170 °C for 1 h, which gives foams with the lowest relative density of 0.74, the smallest average cell size of 4 μm, and the higher cell nucleation density of 8.0 × 109 nuclei/cm3. As a final conclusion of this investigation, the TPU with 50 wt.% HS is the only one that can be foamed under the saturation and foaming conditions used in this study. TPU foams containing 50 wt.% HS with a cell size below 15 microns and porosity of 1.4–18.6% can be obtained using foaming temperatures from 140 to 180 °C, saturation pressure of 20 MPa, and saturation time of 1 h. Varying the saturation pressure from 10 to 25 MPa and fixing the foaming temperature of 170 °C and saturation pressure of 1 h results in TPU foams with a cell size of below 37 microns and porosity of 1.7–21.2%.