A new type of umbilical cable named “high-current composite umbilical cable” is composed of electronic cables, optical cables, steel tubes, and structural strengthening components. It can be regarded as a key piece of industrial equipment in subsea production systems that provide control functions, high electric current, and hydraulic remote transmission. When it is oriented at a power supply with a relatively high rated current, power transmission will produce a lot of heat. Then, the cross-sectional temperature increases, which affects the performances of its material and mechanical responses. Therefore, electro–thermal–mechanical coupled analysis is critical for the cross-sectional design of the high-current composite umbilical cable. Accordingly, a multi-physics coupled analysis was performed based on two typical umbilical cable cross sections. Finite element models were established and subjected to electro–thermal analysis to obtain a temperature distribution of the two sections at different current capacities. Based on results of temperature field analysis, the section models were subjected to thermo–mechanical analysis. The results of the two types of analyses are compared and differences are discussed, which illustrate the multi-physics coupled effect cannot be neglected. The armored layers will relatively reduce the heat dissipation performance, but compared with the umbilical cable model without the armored layers, the model with double-armored layers is less affected by temperature, so its capacity of resistance external pressure is relatively better. The proposed coupled analysis methodology provides a new guidance for the design of the high-current composite umbilical cables.