Provided are a thermoplastic elastomer (TPE) physically-foamed roll and a semi-continuous preparation method thereof. In the preparation method, the desorption of a high-pressure fluid is inhibited by controlling a solubility of the high-pressure fluid in a TPE roll and then subjecting the material to a quick freezing and gas-locking treatment at a specific temperature, and an impregnated roll can be stored at a low temperature for a long time or subjected to long-distance transportation, and can be stably subjected to continuous heating and foaming, which allows large-scale continuous production and is safe and environmentally-friendly. The present disclosure also provides a TPE physically-foamed roll prepared by the preparation method, and the TPE physically-foamed roll has a thickness of 0.1 mm to 3 mm, a density of 0.1 g/cm.sup.3 to 0.6 g/cm.sup.3, a foam cell size of 1 m to 200 m, and a Shore hardness of 20 C to 60 C.