The inclusion of active materials in 3D-printed objects presents many potential applications in a variety of fields, including medicine and agriculture. Through a new three-phase coating system, we fabricate 3D objects that are printed via fused deposition modeling (FDM), with embedded functional materials. The method, namely Continuous Material Deposition on Filaments (CMDF) is based on passing a filament through a solution in which the functional substance is dissolved together with the polymer from which the filament is made. As model cases, three different types of materials were tested, Rhodamine B, ZnO nanoparticles (NPs), and Ciprofloxacin (Cip) while dissolved or dispersed in a PLA-containing solution. It was found that the properties of the coating materials are not affected by the coating and printing steps and they are maintained on the surface of the printed structure. This enabled, for example, achieving an antibacterial activity by the ZnO NPs and the controlled release of the antibiotics, Cip. Since the approach does not alter the mechanical properties of the printed structures, it offers a simple and convenient method for the introduction of a wide range of materials into 3D-printed objects.