The interface between nucleating agents and polymers plays a pivotal role in heterogeneous cell nucleation in polymer foaming. We describe how interfacial engineering of nucleating particles by polymer shells impacts cell nucleation efficiency in CO2 blown polymer foams. Core–shell nanoparticles (NPs) with a 80 nm silica core and various polymer shells including polystyrene (PS), poly(dimethylsiloxane) (PDMS), poly(methyl methacrylate) (PMMA), and poly(acrylonitrile) (PAN) are prepared and used as heterogeneous nucleation agents to obtain CO2 blown PMMA and PS micro- and nanocellular foams. Fourier transform infrared spectroscopy, thermogravimetric analysis, and transmission electron microscopy are employed to confirm the successful synthesis of core–shell NPs. The cell size and cell density are determined by scanning electron microscopy. Silica NPs grafted with a thin PDMS shell layer exhibit the highest nucleation efficiency values, followed by PAN. The nucleation efficiency of PS- and PMMA-grafted NPs are comparable with the untreated particles and are significantly lower when compared to PDMS and PAN shells. Molecular dynamics simulations (MDS) are employed to better understand CO2 absorption and nucleation, in particular to study the impact of interfacial properties and CO2-philicity. The MDS results show that the incompatibility between particle shell layers and the polymer matrix results in immiscibility at the interface area, which leads to a local accumulation of CO2 at the interfaces. Elevated CO2 concentrations at the interfaces combined with the high interfacial tension (caused by the immiscibility) induce an energetically favorable cell nucleation process. These findings emphasize the importance of interfacial effects on cell nucleation and provide guidance for designing new, highly efficient nucleation agents in nanocellular polymer foaming.