In this work, the suitability for the production of sustainable and lightweight materials with specific mechanical properties and potentially lower costs was studied. Agave fiber (AF), an agro-industrial waste, was used as a reinforcement and azodicarbonamide (ACA) as a chemical blowing agent (CBA) in the production of bilayer materials via rotational molding. The external layer was a composite of linear medium density polyethylene (LMDPE) with different AF contents (0–15 wt %), while the internal layer was foamed LMDPE (using 0–0.75 wt % ACA). The samples were characterized in terms of thermal, morphological and mechanical properties to obtain a complete understanding of the structure-properties relationships. Increases in the thicknesses of the parts (up to 127%) and a bulk density reduction were obtained by using ACA (0.75 wt %) and AF (15 wt %). Further, the addition of AF increased the tensile (23%) and flexural (29%) moduli compared to the neat LMDPE, but when ACA was used, lower values (75% and 56% for the tensile and flexural moduli, respectively) were obtained. Based on these results, a balance between mechanical properties and lightweight can be achieved by selecting the AF and ACA contents, as well as the performance and aesthetics properties of the rotomolded parts.