This invention aims to provide a thermally foamable microsphere which is excellent in heat resistance, has a high expansion ratio, and shows stable foaming behavior; a method of producing the thermally foamable microsphere; and suitable use thereof.This invention provides a thermally foamable microsphere in which an outer shell encapsulating a foaming agent is formed of a copolymer having a polymethacrylimide structure. In particular, this invention provides a thermally foamable microsphere in which monomers capable of forming the polymethacrylimide structure by a copolymerization reaction are methacrylonitrile and methacrylic acid. Moreover, this invention provides a method of producing the thermally foamable microsphere and use of the thermally foamable microsphere as an additive.