This work aims at the determination of the coefficient of thermal expansion (CTE) of parts manufactured through the Fused Deposition Modeling process, employing fiber Bragg grating (FBG) sensors. Pure thermoplastic and composite specimens were built using different commercially available filament materials, including acrylonitrile butadiene styrene, polylactic acid, polyamide, polyether-block-amide (PEBA) and chopped carbon fiber-reinforced polyamide (CF-PA) composite. During the building process, the FBGs were embedded into the middle-plane of the test specimens, featuring 0° and 90° raster printing orientations. The samples were then subjected to thermal loading for measuring the thermally induced strains as a function of applied temperature and, consequently, the test samples’ CTE and glass transition temperature (Tg) based on the recorded FBG wavelengths. Additionally, the integrated FBGs were used for the characterization of the residual strain magnitudes both at the end of the 3D printing process and at the end of each of the two consecutively applied thermal cycles. The results indicate that, among all tested materials, the CF-PA/0° specimens exhibited the lowest CTE value of 14 × 10−6/°C. The PEBA material was proven to have the most isotropic thermal response for both examined raster orientations, 0° and 90°, with CTE values of 117 × 10−6/°C and 108 × 10−6/°C, respectively, while similar residual strains were also calculated in both printing orientations. It is presented that the followed FBG-based methodology is proven to be an excellent alternative experimental technique for the CTE characterization of materials used in 3D printing.