Hydrogels comprising cellulose nanofibrils (CNF) were used in the synthesis of continuous filaments via wet-spinning. Hydrogel viscosity and spinnability, as well as orientation and strength of the spun filaments, were found to be strongly affected by the osmotic pressure as determined by CNF surface charge and solid fraction in the spinning dope. The tensile strength, Young's modulus and degree of orientation (wide-Angle X-ray scattering, WAXS) of filaments produced without drawing were 297 MPa, 21 GPa and 83%, respectively, which are remarkable values. A thorough investigation of the interactions with water using dynamic vapour sorption (DVS) experiments revealed the role of sorption sites in the stability of the filaments in wet conditions. DVS analysis during cycles of relative humidity (RH) between 0 and 95% revealed major differences in water uptake by the filaments spun from hydrogels of different charge density (CNF and TEMPO-oxidised CNF). It is concluded that the mechanical performance of filaments in the presence of water deteriorates drastically by the same factors that facilitate fibril alignment and, consequently, enhance dry strength. For the most oriented filaments, the maximum water vapour sorption at 95% RH was 39% based on dry weight.