An innovative physics-guided learning algorithm for predicting the mechanical response of materials and structures is proposed in this paper. The key concept of the proposed study is based on the fact that physics models are governed by Partial Differential Equation (PDE), and its loading/ response mapping can be solved using Finite Element Analysis (FEA). Based on this, a special type of deep convolutional neural network (DCNN) is proposed that takes advantage of our prior knowledge in physics to build data-driven models whose architectures are of physics meaning. This type of network is named as FEA-Net and is used to solve the mechanical response under external loading. Thus, the identification of a mechanical system parameters and the computation of its responses are treated as the learning and inference of FEA-Net, respectively. Case studies on multi-physics (e.g., coupled mechanical-thermal analysis) and multi-phase problems (e.g., composite materials with random micro-structures) are used to demonstrate and verify the theoretical and computational advantages of the proposed method.