Thermally expandable microspheres are extensively used in industry as a lightweight filler for many products. The spheres can expand up to 60 times the initial size and are used for different purposes, including material reduction and surface modification. In fused filament fabrication (FFF), a material is deposited in a layer-by-layer process. Typically, FFF objects need not be solid because such objects are typically used for applications with low mechanical stress. Low material infill percentages are commonly used inside a solid outer shell to reduce material usage, weight, and manufacturing time. This paper proposes a new composite filament for FFF consisting of polylactic acid (PLA) and thermally expandable Expancel microspheres in the form of masterbatch granules. These filaments contain unexpanded microspheres that can be expanded during printing by heating. Two types of filaments containing 2 wt% and 5 wt% of masterbatch granules were manufactured and tested. The filaments were successfully used with a commercial 3D printer to manufacture objects with a density of 45% compared to objects manufactured using standard PLA. The tensile strength of these objects changed linearly with density and was comparable to that of PLA objects of the same density prepared using infill patterns. The composite filaments are advantageous in that they can reduce the amount of material used, as is currently done by using different amounts of infill in a pattern. Further, by varying the nozzle temperature, their density can be adjusted directly during printing as well as during fabrication to produce layers of different densities in the same object.