The deep learning method provides an effective alternative to numerical simulations for establishing the nonlinear input-output relationship and calculating dynamic responses of rotor systems. To overcome the low generalization capability of pure data-driven long short-term memory (LSTM) networks when predicting dynamic responses to out-of-distribution inputs, a dynamic response prediction method using physics-informed multi-LSTM networks is proposed. This approach incorporates required physical constraints into the deep LSTM network, allowing the model training process to optimize the network parameters within the feasible solution space that adheres to physical laws. Consequently, this enhances the physical interpretability of the deep learning model. Specifically, two physics-informed multi-LSTM network architectures are introduced, and physical laws of equation of motion, state dependency and hysteretic constitutive relationship are considered to construct the physics loss. The feasibility of the proposed method is verified by a Bouc-Wen hysteresis model and a simulated gas generator rotor. The response prediction performance of the two networks is validated on a constructed fault rotor dataset with significant sample differences, along with cross-speed and cross-node prediction validation for the rotor system. The results demonstrate that the trained networks exhibit strong robustness and generalization capabilities, making them suitable as surrogate models for rotor systems.