Extracting digital material representations from images is a necessary prerequisite for a quantitative analysis of material properties. Different segmentation approaches have been extensively studied in the past to achieve this task, but were often lacking accuracy or speed. With the advent of machine learning, supervised convolutional neural networks (CNNs) have achieved state-of-the-art performance for different segmentation tasks. However, these models are often trained in a supervised manner, which requires large labeled datasets. Unsupervised approaches do not require ground-truth data for learning, but suffer from long segmentation times and often worse segmentation accuracy. Hidden Markov Random Fields (HMRF) are an unsupervised segmentation approach that incorporates concepts of neighborhood and class distributions. We present a method that integrates HMRF theory and CNN segmentation, leveraging the advantages of both areas: unsupervised learning and fast segmentation times. We investigate the contribution of different neighborhood terms and components for the unsupervised HMRF loss. We demonstrate that the HMRF-UNet enables high segmentation accuracy without ground truth on a Micro-Computed Tomography ($μ$CT) image dataset of Polyurethane (PU) foam structures. Finally, we propose and demonstrate a pre-training strategy that considerably reduces the required amount of ground-truth data when training a segmentation model.