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Fused deposition modelling (FDM) is a widely used additive layer manufacturing process that deposits thermoplastic material layer-by-layer to produce complex geometries within a short time. Increasingly, fibres are being used to reinforce thermoplastic filaments to improve mechanical performance. This paper reviews the available literature on fibre reinforced FDM to investigate how the mechanical, physical, and thermal properties of 3D-printed fibre reinforced thermoplastic composite materials are affected by printing parameters (e.g., printing speed, temperature, building principle, etc.) and constitutive materials properties, i.e., polymeric matrices, reinforcements, and additional materials. In particular, the reinforcement fibres are categorized in this review considering the different available types (e.g., carbon, glass, aramid, and natural), and obtainable architectures divided accordingly to the fibre length (nano, short, and continuous). The review attempts to distil the optimum processing parameters that could be deduced from across different studies by presenting graphically the relationship between process parameters and properties. This publication benefits the material developer who is investigating the process parameters to optimize the printing parameters of novel materials or looking for a good constituent combination to produce composite FDM filaments, thus helping to reduce material wastage and experimental time.