In comparison with unfoamed polymers, polymer foams find extensive application in various civil and industrial fields such as packaging, sports equipment, absorbents, and automotive components due to their advantages of lightweight, high strength-to-weight ratio, excellent insulation properties, high thermal stability, high impact strength, toughness, and long fatigue life. The preparation of conventional polymer foam typically necessitates the incorporation of chemical foaming agents into the polymer, raising environmental issues, which pave the way for the utilization of supercritical fluids. Supercritical fluids exemplified by supercritical carbon dioxide or supercritical nitrogen, are renowned for their environmentally friendly and non-toxic characteristics, thus offering a viable alternative to conventional chemical foaming agents. Supercritical fluids exhibit gas-like diffusion and liquid-like density, offering excellent plasticization effects on polymer melts. This substantially reduces the melt viscosity, melting point, and glass transition temperature of the polymer, facilitating the preparation of uniformly distributed, smaller-sized, and higher-density microcellular foams. This review first provides an overview of the characteristics of supercritical fluids and commonly used supercritical fluid foaming agents. Subsequently, the dissolution, diffusion, and interactions of supercritical fluids in polymers were discussed, followed by a focused elucidation of the cell nucleation (homogeneous and heterogeneous) and growth (island model and cell model). Finally, the application of supercritical fluids in the foam manufacturing techniques is highlighted, including batch foaming, extrusion foaming, and injection foaming, while emphasizing the challenges that still exist in polymer foaming.