Deep learning methods find a solution to a boundary value problem by defining loss functions of neural networks based on governing equations, boundary conditions, and initial conditions. Furthermore, the authors show that when it comes to many engineering problems, designing the loss functions based on first-order derivatives results in much better accuracy, especially when there is heterogeneity and variable jumps in the domain \cite{REZAEI2022PINN}. The so-called mixed formulation for PINN is applied to basic engineering problems such as the balance of linear momentum and diffusion problems. In this work, the proposed mixed formulation is further extended to solve multi-physical problems. In particular, we focus on a stationary thermo-mechanically coupled system of equations that can be utilized in designing the microstructure of advanced materials. First, sequential unsupervised training, and second, fully coupled unsupervised learning are discussed. The results of each approach are compared in terms of accuracy and corresponding computational cost. Finally, the idea of transfer learning is employed by combining data and physics to address the capability of the network to predict the response of the system for unseen cases. The outcome of this work will be useful for many other engineering applications where DL is employed on multiple coupled systems of equations.