A composite fiber for use in additive manufacturing such as fused filament fabrication is described along with methods of its construction and use. The composite fiber includes a single continuous fiber (e.g., a continuous carbon roving) and a polymer (e.g., a high glass transition polymer) in intimate contact. The composite fiber is formed through immersion of the continuous fiber in a series of two or more solutions that together include monomer(s), catalysts, or other materials for generating the polymer as the continuous fiber moves through the solutions.