Lack of advanced testing technology and instrument restricted development and application of material subjected to multiaxial mechanical-thermal coupling fatigue load. This paper developed the mechanical-thermal coupling tensile-bending combined fatigue testing instrument by modifying the existing uniaxial tensile testing device and the shape of specimens. The thermal loading unit, thermal insulation unit, and temperature monitoring unit were integrated into the tensile testing device to obtain fatigue properties of different temperatures. A single v-notch used to adjust the ratio of bending component to tensile component was prepared on the symmetric specimen to establish the tensile-bending coupling stress state of the minimum cross-section of specimens. The v-notch specimens and conventional symmetrical specimens were used on the modified instrument to test at room temperature to 600 °C. The performance of the modified instrument was verified through the stability of load response, the consistency of fatigue fracture process and displacement response, and the softening trend of material with the increase of temperature. The tensile-bending stress state caused by v-notch was proved through finite element analysis and the stress analysis based on the crack growth morphology. A deep neural network model was established connecting the testing parameters and the tensile-bending combined stress state, and the feasibility of the model was verified by small enough training error and testing error.