The footwear market is addressing eco-sustainable solutions to the continuous demand for materials that at the same time show lighter weight with higher comfort. Toward this aim, a biodegradable matrix, poly(vinyl alcohol) (PVA), was used to obtain foams through an eco-sustainable methodology based on high speed mixing, without the use of chemical blowing agents. Moreover, considering that good thermoregulating performance in terms of heat transfer and perspiration is required for good quality shoes, microencapsulated phase change materials (PCMs) were incorporated into PVA foams. Foam morphologies investigated by SEM reveal that PCMs are finely dispersed through the PVA matrix. Mechanical properties of foams were analyzed in terms of compression behavior and shape memory recovery, triggering the dimensional changes by both temperature and relative humidity. The thermoregulating properties confirm that the presence of microcapsules affects the heat transfer phenomenon, since part of the heat provided by the source is involved in the wax phase transition.