A composite filament for use in additive manufacturing such as fused filament fabrication is described along with methods of its construction and use. The composite filament includes a single continuous filament (e.g., a continuous carbon roving) and a polymer (e.g., a high glass transition polymer) in intimate contact. The composite filament is formed through immersion of the continuous filament in a solution of the polymer. The composite filament can be combined with an additional formation material in an additive manufacturing process.