Fused filament fabrication (FFF) is one of the most broadly used additive manufacturing technologies, which possesses the advantage of a reduction in fabrication time and cost for complex-structural parts. FFF-fabricated continuous carbon fiber reinforced thermoplastic (C-CFRTP) composites have seen their great potentials in the industry due to the extraordinary mechanical properties. However, the relationship among process parameters, impregnation percentage, and mechanical properties is still unknown, which has greatly hindered both the manufacturing and application of those advanced composite parts. For this reason, the influence of process parameters on the impregnation percentage and mechanical properties of C-CFRTP specimens has been investigated in this paper. The process-impregnation-properties relationship of FFF-fabricated C-CFRTP specimens has been revealed through theoretical analyses and experimental measurement. It could be concluded that the impregnation percentage served as the bridge connecting process parameters and mechanical properties, which would provide a great insight into the property improvement. The experimental results of microscopic measurement and mechanical tests indicated that the combination of low transverse movement speed, high nozzle temperature, and small layer thickness led to an improved impregnation percentage, which ultimately produced better mechanical properties. The findings in this work will guide the fabrication of C-CFRTP parts with excellent mechanical performance for practical engineering applications.