The popular applications of Additive Manufactured (AM) polymer materials in engineering, medical, and industrial fields have been widely recognized due to their high-speed production despite their complex design shapes. Fused Deposition Modeling (FDM) is the technique that has become the most renowned AM process due to its simplicity and because it is the cheapest method. The main objective of this research is to perform a numerical simulation of the thermo-mechanical behaviour of AM polymer with continuous carbon fibre reinforcement exposed to elevated temperatures. The influence of global thermal loads on AM material was focused on mechanical property changes at the microscale (level of fiber–matrix interaction). The mechanical response (strain/stress distribution) of the AM material on the temperature loading was modelled using the finite element method (FEM). The coupled thermal-displacement analysis was used during the numerical calculations. The strain in the sample due to its exposition on elevated temperature was measured using fibre Bragg grating (FBG) sensors. The numerical results were compared with the experimental results achieved for the sample exposure to the same thermal conditions showing good agreement. A strong influence of the temperature on the matrix structure and the condition of bondings between fibres and matrix was observed.