This study was carried out to investigate the continuous aqueous pretreatment of sugarcane bagasse (SCB) through twin-screw extrusion for a new integrated full valorization, where the solid residue (extrudate) was used for the production of bio-based materials by thermocompression and the filtrate for the production of high-value-added molecules. Two configurations, with and without a filtration module, were tested and the influence of the SCB composition and structure on the properties of the materials were determined. The impact of the liquid-to-solid (L/S) ratio was studied (0.65–6.00) in relation to the material properties and the biomolecule extraction yield in the filtrate (with the filtration configuration). An L/S ratio of at least 1.25 was required to obtain a liquid filtrate, and increasing the L/S ratio to 2 increased the extraction yield to 11.5 g/kg of the inlet SCB. The extrudate obtained without filtration yielded materials with properties equivalent to those obtained with filtration for L/S ratios of at least 1.25. Since the molecule extraction process was limited, a configuration without filtration would make it possible to reduce water consumption in the process while obtaining high material properties. Under the filtration configuration, an L/S ratio of 2 was the best tradeoff between water consumption, extraction yield, and the material properties, which included 1485 kg/m3 density, 6.2 GPa flexural modulus, 51.2 MPa flexural strength, and a water absorption (WA) and thickness swelling (TS) of 37% and 44%, respectively, after 24 h of water immersion. The aqueous pretreatment by twin-screw extrusion allowed for the overall valorization of SCB, resulting in materials with significantly improved properties compared to those obtained with raw SCB due to fiber deconstruction.