For the past years, fused deposition modeling (FDM) technology has received increased attention in the applications of industrial manufacturing fields, particularly for rapid prototyping, small batch production and highly customized products, owing to the merits of low-cost, user-friendliness and high design freedom. To further expand the application potential and promote the performance of the as-manufactured products, many efforts have been spent on the development of suitable materials for FDM applications. In recent years, the involvement of nanomaterials in the FDM-based polymer matrix, which has been demonstrated with great opportunities to enhance the performance and versatility of FDM printed objects, has attracted more and more research interest and the trend is expected to be more pronounced in the next few years. This paper attempts to provide a timely review regarding the current research advances in the use of nanomaterials to reinforce polymer filaments for the FDM technique. Polymer composite filaments based on nanomaterials such as carbon nanotubes, nanoclay, carbon fibers, graphene, metal nanoparticles and oxides are discussed in detail regarding their properties and applications. We also summarized the current research challenges and outlooked the future research trends in this field. This paper aims at providing a useful reference and guidance for skilled researchers and also beginners in related fields. Hopefully, more research advances can be stimulated in the coming years.