Additive manufacturing technology has attracted the attention of industrial and technological sectors due to the versatility of the design and the easy manufacture of structural and functional elements based on composite materials. The embedding of magnetic nanoparticles in the polymeric matrix enables the development of an easy manufacturing process of low-cost magnetically-active novel polymeric composites. In this work, we report a series of magnetic composites prepared by solution casting method combining 5 to 60 wt.% of 50 - 100 nm commercial Fe3O4 nanoparticles, with a semi-crystalline, biocompatible and biodegradable polymeric blend made of polylactic acid (PLA) and polycaprolactone (PCL). The composites were extruded, obtaining 1.5 mm diameter continuous and flexible filaments for fused deposition modelling 3D printing. The chemical, magnetic and calorimetric properties of the obtained filaments were investigated by differential scanning calorimetry, thermogravimetric analysis, magnetometry, and scanning electron microscopy. Furthermore, taking advantage of the magnetic character of the filaments, their capability to generate heat under the application of low-frequency AC magnetic fields (magnetic induction heating) was analysed. The obtained results expose the versatility of these easy manufacturing and low-cost filaments, where selecting a desired composition, the heating capacity can be properly adjusted for those applications where magnetic induction plays a key role (i.e., magnetic hyperthermia, drug release, heterogeneous catalysis, water electrolysis, gas capture or materials synthesis).