This paper presents a study conducted on prepregs manufactured by a novel method for the impregnation of a thermoplastic matrix. Different composite prepregs based on polypropylene and reinforced with natural fibers (e.g., basalt and jute fibers) were developed. The mechanical and dynamic mechanical properties were investigated. DMA tests were conducted at 1 Hz frequency and properties such as storage modulus and damping (tan δ) were evaluated. The overall mechanical properties of the basalt fiber composites were found to be superior to that of the jute fiber-based samples. Thermo-gravimetric analysis (TG/DTG) of the composite samples showed that the thermal degradation temperatures of the basalt-based composites shifted to higher temperature regions compared to the PP or jute fiber composites. The addition of basalt fiber considerably improved the thermal stability of the composite samples. Microscopic images of the tensile fractured composite samples illustrated better fiber-matrix interfacial interaction due to the novel technology of prepregs. Single-ply and 2-ply prepregs showed significantly superior mechanical, thermal, and thermo-dynamical performance compared to the control sample (pure PP). 2-Ply composites demonstrated higher modulus, tensile strength, and storage modulus due to the higher fiber volume fraction. Basalt-based samples showed a minimum weight loss of about 57% up to 700 °C in contrast to 96.05% weight loss in the jute-based samples and 98.4% in the case of pure PP. The heat resistance index (THRI) is more than twice for basalt compared to jute and PP. Furthermore, the superior thermal stability of basalt is reflected in its DSC curves, showing the highest endothermic peak. The technique of using the resin in the form of thermoplastic yarns offers cost effective and efficient alternatives for composite manufacturing.