A comprehensive study has been conducted to develop proper test methods for accurate determination of failure strengths along different material directions of closed-cell polymer-based structural foams under different loading modes. The test methods developed are used to evaluate strengths and failure modes of commonly used H80 polyvinyl chloride (PVC) foam. The foam's out-of-plane anisotropic and in-plane isotropic cell microstructures are considered in the test methodology development. The effect of test specimen geometry on compressive deformation and failure properties is addressed, especially the aspect ratio of the specimen gauge section. Foam nonlinear constitutive relationships, strength and failure modes along both in-plane and out-of-plane (rise) directions are obtained in different loading modes. Experimental results reveal strong transversely isotropic characteristics of foam microstructure and strength properties. Compressive damage initiation and progression prior to failure are investigated in an incremental loading–unloading experiment. To evaluate foam in-plane and out-of-plane shear strengths, a scaled shear test method is also developed. Shear loading and unloading experiments are carried out to identify the causes of observed large shear damage and failure modes. The complex damage and failure modes in H80 PVC foam under different loading modes are examined, both macroscopically and microscopically.