A consumable filament for use in an extrusion-based additive manufacturing system, where the consumable filament comprises a core portion of a matrix of a first base polymer and particles dispersed within the matrix, and a shell portion comprising a same or a different base polymer. The consumable filament is configured to be melted and extruded to form roads of a plurality of solidified layers of a three-dimensional part, and where the roads at least partially retain cross-sectional profiles corresponding to the core portion and the shell portion of the consumable filament and retain the particles within the roads of the printed part and do not penetrate the outer surface of the shell portion.