Fused Filament Fabrication (FFF) three-dimensional (3D) printing empowers advanced and complex fiber-reinforced polymer (FRP) composites, but also possesses unavoidable high void content and limited interlaminar strength. Multi-scale reinforcement can effectively mitigate the out-of-plane performance limitations of 3D printed FRPs, by the incorporation of nano-additives at filament level. 3D printed continuous FRP composites of Polylactic acid (PLA)/ Carbon Fiber (CF)/ multi-walled carbon nanotubes (CNTs) with enhanced interlaminar strength and fracture toughness are reported for the first time. A custom roll-to-roll (R2R) line is developed for the impregnation of CF tows (3 K) with neat PLA and PLA/CNT nanocomposite polymer solutions, further employed as feedstock for single feed FFF 3D printing (3DP). PLA/CF and PLA/CF/CNT unidirectional (UD) 12-ply laminates ([0]₁₂) are manufactured and thoroughly investigated through microstructural and physicochemical analyses, as well as mechanical testing, both for “as printed” (AP) and post-processed “thermally pressed” (TP) specimens. Namely, quasi-static flexural, short beam shear (SBS), Mode-I interlaminar fracture tests, Dynamic Mechanical Analysis (DMA) and fractography investigations elucidate the reinforcing mechanisms of CNTs in the 3DP CFRP laminates, i.e. via matrix stiffening, crack deflection, etc., significantly increasing the interlaminar shear strength (ILSS) and fracture toughness (G_IC). The ultimate flexural strength (σ_UFS) is increased by 8.9 %, the storage modulus (E′) by 6.7 %, the ILSS by 30.1 % and the G_IC by 32.0 % for the PLA/CF/CNT (TP) multi-scale composites. This work highlights a versatile approach for the effective utilization of nanoinclusions within the thermoplastic matrix of continuous 3DP FRPs showing enhanced mechanical performance.