Additive manufacturing, in particular the fused deposition method, is a quite new interesting technique used to obtain specific 3D objects by depositing layer after layer of material. Generally, commercial filaments can be used in 3D printing. However, the obtention of functional filaments is not so easy to reach. In this work, we obtain filaments based on poly(lactic acid), PLA, reinforced with different amounts of magnesium, Mg, microparticles, using a two-step extrusion process, in order to study how processing can affect the thermal degradation of the filaments; we additionally study their in vitro degradation, with a complete release of Mg microparticles after 84 days in phosphate buffer saline media. Therefore, considering that we want to obtain a functional filament for further 3D printing, the simpler the processing, the better the result in terms of a scalable approach. In our case, we obtain micro-composites via the double-extrusion process without degrading the materials, with good dispersion of the microparticles into the PLA matrix without any chemical or physical modification of the microparticles.