Sandwich structures are engineered with continuous layers surrounding the inner lattices, which combines the advantages of the high strength of the continuous layer and the light weight of the lattice layer. They are widely employed in weight-critical energy-absorbing engineering fields such as aerospace, automobile, and robotics. However, the application of sandwich structures made of polymer matrix composites is still limited due to lack of essential performance investigation and adequate reference data. The following innovative works are accomplished in this paper: (i) Continuous long glass fiber (CGF) is employed within the continuous layer of the sandwich structure, with composite short carbon fiber/polyamide (SCF/N) applied within the lattice layer. (ii) Sandwich structures with different cell types and orientations of the lattice infills are designed and prepared by additive manufacturing. (iii) The basic mechanical properties of the sandwich structures, i.e., the bi-directional tension/compression compound performance, failure modes and mechanisms in characteristic directions, are analyzed systematically. (iv) The effects of geometric features on the three-point bending properties of L-shaped sandwich structures are investigated and compared with those of pure SCF/N structures. The results show that the bending resistance per unit weight was up to 54.3% larger than that of pure SCF/N, while the weight could be decreased by 49%, and the bending flexibility before fracture could be increased by 44%. These studies contribute fundamental research data to the application of sandwich structures prepared by fiber reinforced polymer matrix composites.