Critical-sized bone defects remain a major therapeutic challenge. Among additive manufacturing approaches, fused filament fabrication provides a scalable alternative to autografting by enabling the production of patient-specific scaffolds with integrated bioactive functionality. Given the osteogenic and immunomodulatory properties of dexamethasone (DEXA), this study aimed to develop a 3D-printable DEXA-loaded polylactic acid (PLA) composite filament for controlled local drug delivery and to assess its osteogenic and immunomodulatory effects in vitro. DEXA–PLA composite filaments (0.1% and 1% w/w) were fabricated by melt extrusion. Thermal, chemical, surface, and mechanical characterization were performed using thermogravimetric analysis, differential scanning calorimetry, dynamic mechanical analysis, Fourier-transform infrared spectroscopy, contact angle, and three-point bending tests. DEXA release over 28 days was quantified by ELISA. Human mesenchymal stromal cells (MSCs) or THP-1–derived macrophages (TDM) were cultured in indirect contact with PLA or DEXA–PLA (0.1% or 1%) test specimens or treated with soluble DEXA as positive control. Osteogenic and immunomodulatory effects were assessed by metabolic activity (resazurin assay), gene expression (RT-qPCR), extracellular matrix (ECM) mineralization (Alizarin Red quantification), and cytokine secretion (Cytometric Bead Array). Statistical analysis was performed using two-way ANOVA followed by Tukey’s multiple comparisons test, and Kruskal–Wallis/Dunn (n = 4; α = 0.05). Thermal, chemical, surface, and mechanical properties of CF are largely preserved after DEXA incorporation. Both formulations exhibited distinct, concentration-dependent release kinetics. While the 0.1% DEXA–PLA showed a transient increase in DEXA concentration up to 72 h followed by decline, the 1% DEXA–PLA established a sustained plateau (~143 ng of DEXA per g of test specimen) over 28 days. Neither composite affected MSC metabolic activity. After 14 days, the 1% DEXA–PLA significantly enhanced ALPL expression and ECM mineralization compared with the 0.1% DEXA–PLA and PLA, reaching levels comparable to osteogenic differentiation medium (10 nM DEXA). In macrophages, the 1% DEXA–PLA selectively reduced in M1 cells metabolic activity, IL1B expression and secretion of IL-1β, IL-6, and TNF-α, while upregulating CD163 and PPARG. The FFF-compatible 1% DEXA–PLA CF retains physicochemical integrity after DEXA incorporation and enables sustained local DEXA delivery within a biologically active concentration range, achieving dual osteogenic and immunomodulatory effects, as evidenced by attenuated M1 macrophage activation. These findings demonstrate the feasibility of integrating DEXA into a controlled drug release system for bone tissue engineering applications.