Supercritical fluid (SCF) N2 was used as a physical foaming agent to fabricate microcellular injection-molded poly(hydroxybutyrate-co-hydroxyvalerate) (PHBV)–poly(butylene adipate-co-terephthalate) (PBAT)–hyperbranched-polymer (HBP)–nanoclay (NC) bionanocomposites. The effects of incorporating HBP and NC on the morphological, mechanical, and thermal properties of both solid and microcellular PHBV–PBAT blends were studied. NC exhibited intercalated structures in solid components, but showed a mixture of exfoliated and intercalated structures in the corresponding microcellular nanocomposites. The addition of NC improved the thermal stability of the resulting nanocomposites. The addition of HBP and NC reduced the cell size and increased the cell density of microcellular components. The addition of HBP and NC enhanced the degree of crystallinity for both solid and microcellular components. Moreover, with the addition of HBP, the area under tan δ curve, specific fracture toughness, and strain-at-break of the PHBV-based nanocomposite increased significantly whereas the storage modulus, specific Young’s modulus, and specific tensile strength decreased.