High-performance fiber-reinforced thermoset composites processed by additive manufacturing (3D printing) are attracting substantial attention in both academic and industrial fields in a market currently dominated by thermoplastic matrices. Thermoset polymers have, nevertheless, several advantages over thermoplastic ones. This study aims at recommending suitable fibers and processing conditions that effectively improve the mechanical properties of thermoset composites produced by additive manufacturing. The influence of void content is also highlighted. A systematic review is performed here using the Preferred Reporting Items for Systematic Reviews and Meta-Analyses (P.R.I.S.M.A.) protocol as a guide aiming to identify the main findings recently studied. A total of 147 studies are initially identified within 2014–2020 using three scientific databases. Then, 29 articles are selected and described respecting several inclusion and exclusion criteria. The main findings are presented and discussed, and the gaps are identified to open up further investigations yet to be understood and exploited.