Owing to their flexibility, melt processability, and tunable magnetic functionality, thermoplastic polyurethane (TPU)-based magnetic composites are promising feedstock materials for material extrusion (MEX) of multifunctional polymer structures. However, increasing magnetic particle loading can simultaneously affect morphology, thermal behaviour, mechanical compliance, and magnetic performance, resulting in complex property trade-offs. Here, TPU/neodymium–iron boron (Nd-Fe-B) composite filaments containing 20, 40, 60, and 80 wt% Nd-Fe-B particles were fabricated by twin-screw melt compounding and filament extrusion, and their loading-dependent morphology, internal structure, thermal behaviour, tensile performance, and magnetic properties were systematically investigated. Scanning electron microscopy (SEM) and X-ray computed tomography (CT) revealed generally homogeneous particle distributions, while higher Nd-Fe-B contents led to rougher filament boundaries and more pronounced void-like defects, especially at 80 wt%. Magnetic characterisation showed that the saturation and remanent magnetisation increased from 21.58 to 91.69 A⋅m2/kg and from 12.24 to 52.33 A⋅m2/kg, respectively, with increasing filler content, while the coercivity remained nearly unchanged. Thermal analysis indicated reduced thermal stability and suppressed crystallisation-related behaviour at high filler contents. Tensile testing of FFF-printed specimens showed increased stiffness but reduced maximum tensile stress with increasing Nd-Fe-B loading. Amongtheinvestigated compositions, 40 wt% Nd-Fe-B exhibited the most balanced overall performance, providing guidance for material selection in MEX of compliant magnetic polymer structures.