The magnesium nanosized ferrite powder with formula MgFe2O4 was synthesized via a pyrochemical sol–gel glycine–nitrate method and annealed consistently at temperatures of up to 1300 °C. The MgFe2O4 ferrite samples’ microstructure was studied by SEM and XRD methods. According to the results of the studies, the increase in MgFe2O4 nanoparticles size from about 15 nm to micron-sized particles was observed when increasing annealing temperatures. The DC electrical conductivity of MgFe2O4 also clearly shows the change in conduction behavior of samples with increased calcination temperatures. The electromagnetic microwave properties of micron-sized particles of MgFe2O4 ferrite powder for a 1200 °C annealing temperature were studied for composites in paraffin matrix with produced magnetic filler mass concentration at 40% and 50%. The filament composites of polymer polylactic acid with MgFe2O4 ferrite powder samples were prepared by the FDM 3D-printing process and their microwave-absorbing properties were investigated. The application of developed PLA–MgFe2O4 ferrite filament for fabricating magnetic microwave-absorbing components also was demonstrated.