It is an object of the present invention to provide a foamable thermoplastic elastomer composition which produces a stable foam. The present invention provides a foamable thermoplastic elastomer composition which contains: (a) 10 to 90 parts by weight of one of an olefin-based resin and rubber having a melting or softening point of 140° C. or lower, (b) 9 to 85 parts by weight of heat-expandable microcapsules expanding at 120 to 300° C., (c) 1 to 50 parts by weight of a volatile composition, wherein the components (a) to (c) total 100 parts by weight, and another aspect of the invention provides a foamable thermoplastic elastomer composition which contains; the above said (a) to (c) and (d) 50 to 99 parts by weight of a thermoplastic resin, wherein the components (a) to (d) total 100 parts by weight, and also provides a method of producing the above foamable thermoplastic elastomer composition in two stages.