This study presents a multi-objective topology optimization method tailored to structures fabricated from functionally graded materials (FGMs), coated FGMs, and coated fiber-reinforced composite materials (FRCMs) with fixed fiber thickness. The design objective is the simultaneous minimization of elastic and thermal compliance. The material properties of these composite materials were derived to generate datasets using the representative volume element method under periodic boundary conditions. Subsequently, machine learning modules were developed based on the datasets to combine with the design process. The multi-objective optimization problem was addressed using the weighted sum method ensuring the generation of the Pareto front. The adaptive weighting strategy is employed to avoid biased results toward a single objective function. To define the coated boundaries within the design domain, image post-processing techniques such as convolution filters, interpolation schemes, and erosion methods were employed on the material layout information of the optimized FGM structures. Through numerical examples, optimized material layouts for coated assemblies incorporating FGMs and FRCMs are presented, with the performance verified through objective function values.