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. Quantitative CT analysis showed low local particle-fraction variability at 20–40 wt% and greater heterogeneity at 60–80 wt%, while filament regularity deteriorated most clearly at 80 wt%. Thermal analysis revealed loading-dependent changes in degradation and crystallisation behaviour. Tensile testing showed increasing stiffness and decreasing maximum tensile stress with filler loading. The elongation at break remained near 500% up to 40 wt% but decreased to 322% and 199% at 60 and 80 wt%, respectively. 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. Both showed near-linear scaling with the nominal Nd-Fe-B content, while the coercivity remained nearly unchanged. Independent normalisation of structural, mechanical, and magnetic attributes established a quantitative comparison framework. The results identify composition-dependent trade-offs, providing a quantitative basis for material-level, application-oriented selection of Fused Filament Fabrication (FFF)-printable TPU/Nd-Fe-B composites.