In this work, a new methodology was developed to disperse nanofibrillated cellulose (CNF) in polylactic acid (PLA) composites for 3D printing. The nanofibres were modified by grafting PLA onto their surface through in-situ polymerisation of L-lactide. This modification changed subsequent fibre/PLA interaction and enabled the production of reinforced microparticles by a Pickering emulsion approach. We demonstrated that filaments produced with these microparticles containing up to 20 wt% of grafted CNF (g-CNF) can be processed and printed using the same printing parameters as used for neat PLA. The printed samples presented superior tensile properties, enhanced thermo-mechanical stability, and were dimensionally stable upon PLA crystallisation when g-CNF content is above 10 wt%. When heat-treated after printing the composite with 10 wt% of g-CNF achieved an ultimate tensile strength and Young's modulus of 72 MPa and 5.4 GPa, respectively. Post-printing annealing also increased thermo-mechanical stability of the composites achieving a storage modulus at 80 °C up to 850 times the storage modulus of neat PLA at the same temperature.