In additive manufacturing, fused filament fabrication (FFF) based three-dimensional printing (3DP) is one of the most popular rapid processing technologies. The key benefit of 3DP is the ability to build integrated, complex, and tailored components. Optimization of feedstock material and associated 3DP process to achieve the required properties for various applications has been an important research field in the recent past. The main objective of this paper is 3DP of syntactic foam cored sandwich composite all at once (skin-core-skin printing in sequence at once). High density polyethylene (HDPE) and glass microballoon (GMB) reinforced (20, 40, and 60 by volume%) HDPE blends are fed into the extruder for manufacturing respective filaments. These HDPE and HDPE/GMB filaments are further sent to the FFF based printer to realize skin and syntactic foam core respectively of the sandwich. The selection of substrate for printing and the crucial issues associated with the printing of core and sandwich composites are analyzed. The present work successfully demonstrates that by optimizing the printing parameters, good quality core and sandwich structures can be printed all at once without any defects. Finally, the suitable printing parameters are used as boundary conditions in finite element (FE) simulation of sandwich for carrying out thermomechanical analysis to analyze the thermal stress distributions in the prints.