Microcellular composites combine the advantages of composite material and microcellular material. Introducing the inclusion phase into the polymer matrix can optimize the cellular structure and improve the mechanical properties of microcellular materials. This paper focuses on rigid W particles reinforced PMMA microcellular materials, combining compression experiments and meso FE simulations to investigate the structure–property relationship of cellular structure and compressive properties for W/PMMA microcellular composites. The results indicate that W particles promote heterogeneous nucleation, reducing the cell size to 3 μm, and reinforce the PMMA matrix. W particles (10 → 60 wt%) are linearly and exponentially related to compressive modulus and compressive strength of W/PMMA microcellular composites, increased by 49.3% and 19.8%. Void porosity (71% → 48%) is quadratic related to compressive properties of W/PMMA microcellular composites, increased by 109%. Cell sizes (5 → 1 μm, especially smaller than the W particle sizes) are exponentially related to compressive properties of W/PMMA microcellular composites, increased by 38.5%. This work provides theoretical support for the regulation of cellular structure and optimization of mechanical properties of microcellular materials.