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Material extrusion (MEX) additive manufacturing has successfully fabricated assembly-free structures composed of different materials processed in the same manufacturing cycle. Materials with different mechanical properties can be employed for the fabrication of bio-inspired structures (i.e., stiff materials connected to soft materials), which are appealing for many fields, such as bio-medical and soft robotics. In the present paper, process parameters and 3D printing strategies are presented to improve the interfacial adhesion between carbon fiber-reinforced nylon (CFPA) and thermoplastic polyurethane (TPU), which are extruded in the same manufacturing cycle using a multi-material MEX setup. To achieve our goal, a double cantilever beam (DCB) test was used to evaluate the mode I fracture toughness. The results show that the application of a heating gun (assembled near the nozzle) provides a statistically significant increase in mean fracture toughness energy from 12.3 kJ/m2 to 33.4 kJ/m2. The underlying mechanism driving this finding was further investigated by quantifying porosity at the multi-material interface using an X-ray computed tomography (CT) system, in addition to quantifying thermal history. The results show that using both bead ironing and the hot air gun during the printing process leads to a reduction of 24% in the average void volume fraction. The findings from the DCB test and X-ray CT analysis agree well with the polymer healing theory, in which an increased thermal history led to an increased fracture toughness at the multi-material interface. Moreover, this study considers the thermal history of each printed layer to correlate the measured debonding energy with results obtained using the reptation theory.