For the first time, graphene nanoplatelets (xGnP) were incorporated at 4 wt% in acrylonitrile–butadiene–styrene (ABS) filaments obtained by a solvent-free process consisting of melt compounding and extrusion. Nanocomposite filaments were then used to feed a fused deposition modelling (FDM) machine to obtain specimens with various build orientations. The elastic modulus and dynamic storage moduli of 3D printed parts along three different build orientations were increased by the presence of xGnP in the ABS matrix. At the same time, a decrease in both stress and strain at break was observed when xGnP is added to ABS. Moreover, a higher thermal stability was induced on 3D printed parts by xGnP, as indicated by a reduction in both coefficient of linear thermal expansion and creep compliance. A comparison between 3D printed and compression moulded parts highlighted the importance of the orientation effects induced by the fused deposition modelling process.