Additive manufacturing (AM) has been rapidly growing for a decade in both consumer and industrial products. Fused deposition modeling (FDM), one of the most widely used additive manufacturing methods, owes its popularity to cost effectiveness in material and equipment investment. Current efforts are aimedtowardhighload-bearingcapacityat lowmaterial costs. However, themechanical reliability of end-products derived from these compositions and their dependence on microstructural effects, have remained as major limitations. This is mainly owing to the unknown mechanics of the materials, including the reinforcing or filler components and their interphase/interface compatibility. For this reason, here we investigate the most relevant commercial polymeric materials used in composite filaments, associated phases and the characterization protocols that can guide component selection, screening and troubleshooting. We first present thermal analyses (thermogravimetric, TGAand differential scanning calorimetry, DSC) in relation to the constituent fractions and identify the type of polymer for uses in filaments production. The influence of various fillers is unveiled in terms of the crystallization behavior of derived 3D-printed parts. To understand the microstructural effects on the material strength, we carry out a series of tensile experiments on 3-D printed dog-bone shaped specimens following ISO standards. Simultaneously, real-time thermal energy dissipation and damage analyses are applied by using infraredmeasurements at fast frame rates (200 Hz) and high thermal resolution (50mK). The failure regions of each specimen are examined via optical, scanning and transmission electron microscopies. The results are used to reveal new insights into the size, morphology and distribution of the constituents and interphases of polymer filaments for FDM. The present study represents advancement in the field of composite filament fabrication, with potential impact in the market of additive manufacturing.