In additive manufacturing, infill structures are commonly used to reduce the weight and cost of a solid part. Currently, most infill structure generation methods are based on the conventional 2.5-axis printing configuration, which, although able to satisfy the self-supporting condition on the infills, suffer from the well-known stair-case effect on the finished surface and the need of extensive support for overhang features. In this paper, based on the emerging continuous multi-axis printing configuration, we present a new lattice infill structure generation algorithm, which is able to achieve both the self-supporting condition for the infills and the support-free requirement at the boundary surface of the part. The algorithm critically relies on the use of three mutually orthogonal geodesic distance fields that are embedded in the tetrahedral mesh of the solid model. The intersection between the iso-geodesic distance surfaces of these three geodesic distance fields naturally forms the desired lattice of infill structure, while the density of the infills can be conveniently controlled by adjusting the iso-values. The lattice infill pattern in each curved slicing layer is trimmed to conform to an Eulerian graph so to generate a continuous printing path, which can effectively reduce the nozzle retractions during the printing process. In addition, to cater to the collision-free requirement and to improve the printing efficiency, we also propose a printing sequence optimization algorithm for determining a collision-free order of printing of the connected lattice infills, which seeks to reduce the air-move length of the nozzle. Ample experiments in both computer simulation and physical printing are performed, and the results give a preliminary confirmation of the advantages of our methodology.