Thermally expandable microspheres (TEMs), employing PMMA as the shell and NaHCO₃/ethanol as the core, were prepared via thermally induced phase separation (TIPS). The addition of NaHCO₃ improves the foaming properties of the TEMs. A mechanism for TEMs formation was proposed, comprising the following steps: (1) the separation of homogeneous polymer solutions into polymer-rich and polymer-poor phases upon cooling, where decreases in both interfacial tension and interfacial free energy (ΔG) facilitate sphere formation in a polymer-rich phase located in the polymer-poor phase; (2) the deposition of PMMA and shell formation at the interface, aided by the acute contact angle (θ) and positive spreading coefficient (S); (3) the constant deposition of PMMA shells from both the polymer-rich phase and polymer-poor phase upon cooling; and (4) the detachment of TEMs from each other facilitated by shear force from stirring. This mechanism was supported by calculations, and the effects of quench rates and stirring speeds.