Varying components and operating conditions in industrial machines lead to different distribution characteristics and fault states of monitoring data for critical rotating machinery. Adequate and accurate labelling of monitoring data is challenging to achieve. Existing data-driven unsupervised domain adaptation methods exhibit poor interpretability and low confidence in the target domain’s pseudo-labelling. Therefore, a physics-informed unsupervised domain adaptation framework is proposed. Data and physical information are combined to enhance the reliability and interpretability of the model while ensuring its generalization capability. First, physical information is extracted by merging the knowledge of the mechanical component fault characteristics with indicators like the signal spectrum’s energy value. Subsequently, the physical label and loss are created. The physical loss is then embedded in the loss function of the source domain model. Next, by aligning the physical labels and the clustering results of the spectral clustering, the target domain samples’ hard pseudo-labels are obtained. The probability values of the sample belonging to each category as determined by the Wasserstein criterion comprise the soft pseudo-label of the sample. Furthermore, the confidence of hard pseudo-labels is continually increased by iteratively updating the probability values of soft pseudo-labels using the multi-label as a guide and the inverse improved sigmoid function as a gradient. Finally, unsupervised cross-machine diagnostic models with high robustness can be obtained. Three datasets are employed in the experimental section, and five sub-datasets are created and crossed for cross-machine experiments to confirm the suggested approach’s efficacy and superiority.