The ability to tailor the microstructure of porous ceramics is essential in order to fulfill the requirements of various applications. Depending on the use of porous ceramics, microstructures with open or closed pores, adjustable pore sizes, and a possible self-setting ability of the wet foam are required. We present a direct foaming method to synthesize self-setting foams with controlled microstructures, based on our previous studies on particle-stabilized foams. For the experimental set-up, alumina particles were partially hydrophobized with propyl gallate and the resulting suspensions were combined with a calcium aluminate cement reaction. Pore size and the fraction of open pores can be controlled by the particle concentration and the setting rate of the cement reaction. As a result, self-setting ceramic–cement composites with porosities ranging from 40 to 95 vol% and closed as well as open pores with sizes between 30 μm and 1 mm were achieved. Compared with other methods used to produce self-setting inorganic macroporous materials, foams made with this method cover a wider pore size and porosity range and reach higher total porosities.