This paper explores the characteristics of a new lightweight thermoplastic composite filament filled with hollow glass beads developed for material extrusion additive manufacturing. Compounding experiments, which mix hollow glass beads with neat acrylonitrile butadiene styrene matrix, were conducted using a twin-screw extruder to prepare composite filaments. Two different types of hollow glass beads were selected as the fillers of composite filament due to their varying densities. In order to characterize the final components produced using composite filament, various specimens were fabricated by a material extrusion additive manufacturing process. In order to characterize the physical properties of the specimens, measurements of density and flexural testing were performed. To identify the thermomechanical effects of hollow glass beads on the neat acrylonitrile butadiene styrene matrix, thermal diffusivity and specific heat were obtained. Consequently, the thermal conductivity of the specimen was derived from its density, thermal diffusivity, and specific heat capacity. The microstructures of the fractured interfaces of the specimens were also observed by scanning electron microscopy. The experimental results revealed that most of the hollow glass beads survived, thus bringing about lighter weight (lower density) and thermal insulation (lower thermal conductivity), which can be useful for numerous potential applications.