The influence of nanoparticles (NPs) in zirconium oxide (ZrO2) as a strengthening factor of Polylactic Acid (PLA) and Polyamide 12 (PA12) thermoplastics in material extrusion (MEX) additive manufacturing (AM) is reported herein for the first time. Using a melt-mixing compounding method, zirconium dioxide nanoparticles were added at four distinct filler loadings. Additionally, 3D-printed samples were carefully examined for their material performance in various standardized tests. The unfilled polymers were the control samples. The nature of the materials was demonstrated by Raman spectroscopy and thermogravimetric studies. Atomic Force Microscopy and Scanning Electron Microscopy were used to comprehensively analyze their morphological characteristics. Zirconium dioxide NPs showed an affirmative reinforcement tool at all filler concentrations, while the optimized material was calculated with loading in the range of 1.0–3.0 wt.% (3.0 wt.% for PA12, 47.7% increase in strength; 1.0 wt.% for PLA, 20.1% increase in strength). PA12 and PLA polymers with zirconium dioxide in the form of nanocomposite filaments for 3D printing applications could be used in implementations using thermoplastic materials in engineering structures with improved mechanical behavior.