To fully utilize the in-situ resources on the moon to facilitate the establishment of a lunar habitat is significant to realize the long-term residence of mankind on the moon and the deep space exploration in the future. Thus, intensive research works have been conducted to develop types of 3D printing approach to adapt to the extreme environment and utilize the lunar regolith for in-situ construction. However, the in-situ 3D printing using raw lunar regolith consumes extremely high energy and time. In this work, we proposed a cost-effective melting extrusion system for lunar regolith-based composite printing, and engineering thermoplastic powders are employed as a bonding agent for lunar regolith composite. The high-performance nylon and lunar regolith are uniformly pre-mixed in powder form with different weight fractions. The high-pressure extrusion system is helpful to enhance the interface affinity of polymer binders with lunar regolith as well as maximize the loading ratio of in-situ resources of lunar regolith. Mechanical properties such as tensile strength, elastic modulus, and Poisson’s ratio of the printed specimens were evaluated systematically. Especially, the impact performance was emphasized to improve the resistance of the meteorite impact on the moon. The maximum tensile strength and impact toughness reach 36.2 MPa and 5.15 kJ/m², respectively. High-pressure melt extrusion for lunar regolith composite can increase the effective loading fraction up to 80 wt.% and relatively easily adapt to extreme conditions for in-situ manufacturing.