The focus of this report was to understand the tensile properties and dynamic mechanical properties of bamboo powder (BP) reinforced polylactic acid (PLA) composite filaments which were treated with nano calcium carbonate (CaCO3), cellulose nanofibers (CNF), and micro-crystalline cellulose (MCC) using impregnation modification technology. The storage modulus (E’) of nano CaCO3-BP/PLA, MCC-BP/PLA, and CNF-BP/PLA composite filaments increased compared with BP/PLA composite filaments before the glass transition temperature Tg. When the temperature was above Tg, the reinforcement effect of nano CaCO3, MCC, and CNF gradually became less apparent. The loss modulus (E’’) and loss factor (tan δmax) of the nano CaCO3-BP/PLA, MCC-BP/PLA, and CNF-BP/PLA composite filaments was higher than that of BP/PLA composite filaments produced by the “one-step” method. The tensile strength (TS) results showed a similar trend. Compared with the control samples, the TS of nano CaCO3-BP/PLA, MCC-BP/PLA, and CNF-BP/PLA composite filaments produced by the “one-step” method (and the “two-step” method) increased by 40.33% (and 10.10%), 32.35% (and −8.61%), and 12.32% (and −12.85%), respectively. The TS of nano CaCO3-BP/PLA, MCC-BP/PLA, and CNF-BP/PLA composite filaments produced by the “one-step” method was slightly higher than those produced by the “two-step” method. The elongation at break (EAB) of BP/PLA composite filaments was higher than that of BP/PLA samples treated with nano CaCO3, MCC, or CNF. The PLA and modified BP were readily accessible through a simple mixing process. The rheological investigation of such mixtures showed that nano CaCO3, CNF, and MCC have different effects on the processability and rheological properties of composites.