A shoe sole construction which features an outer sole (18) having at least one opening (26) through which a protrusion (30) of a less dense midsole (16) extends. The cutout area (26) of the more dense outsole (18) decreases the overall weight of the sole (12), while the less dense protrusion (30) aids in cushioning the foot to provide greater comfort and support. Other protrusions (32 and 68) may also be provided through other openings in the outsole to further lessen weight and increase the cushioning effect on the foot. Additionally, grooves (42) may be provided on the upper surface (40) of the midsole (16) to increase flexibility of the sole (12) and further aid in cushioning the foot and providing peripheral support where needed. The invention may be applied to athletic shoes (FIGS. 1-9), a woman's high-heeled shoe (FIGS. 10-14), or other footwear.