Thermoplastic thermally expandable microspheres comprise a polymer shell and a propellant, wherein the polymer shell is formed from ethylenically unsaturated monomers and encapsulates the propellant, and wherein the ethylenically unsaturated monomers comprise acrylonitrile in an amount from 45 to 80 weight %, methacrylonitrile in an amount of from 10 to 45 weight %, and methyl acrylate and/or methyl methacrylate in an amount of 5 to 35 weight %, each based on the total weight of ethylenically unsaturated monomers, and wherein the thermoplastic thermally expandable microspheres comprise the propellant in an amount of 5 to 17 weight %, based on the total weight of the thermoplastic thermally expandable microspheres. The thermoplastic thermally expandable microspheres are formed in a process of the disclosure and may be present in an aqueous slurry.