An efficient and green preparation strategy is critical in promoting the marketization of expanded polypropylene (EPP) products. In this work, supercritical CO2 extrusion foaming in cooperating with wind-cooling granulator technology was creatively used to prepare polypropylene (PP)/thermoplastic polyurethane (TPU) composite bead foams with controllable cellular structures and geometric shapes like capsule, sphericity, and pie shaped. It is found that the addition of TPU can help to promote uniform cellular structures. More importantly, the procedure of polymer melting, gas dispersion, foaming, and pelletizing can be completed in a one-step continuous process, with the advantages of high efficiency, low cost, controllable microstructures of the bead foams, and so on. Besides, the effect of processing parameters on the cellular structures, expansion ratio, and open-cell content of the bead foams was studied. Specifically, the cell growth progress and morphology evolution of the composite foam beads were recorded by a high-definition camera and microtechniques. In addition, the extruded bead foams were shaped into the foam board via steam-chest molding, and its interbead bonding mechanism and thermal insulation properties were studied. The as-prepared foam board exhibits low density (0.08 g/cm3) and thermal conductivity (46 mW/(m K)), which are expected to be used in the field of thermal insulation. This project contributes to the establishment of large-scale preparation and theory of bead foams and is expected to be applied to other polymeric foams.