A method for the multi-scale design of composite thermoelastic macrostructure and periodic microstructure with multi-phase materials is proposed. A concurrent topology optimization model of macrostructure and microstructure is established, where the objective is to maximize the macrostructural stiffness subject to volume constraints on the macro-material distribution and phase materials. Based on the material interpolation scheme of the solid isotropic material with penalization (SIMP), the sensitivity of the mean compliance of the composite macrostructure with respect to design variables on two scales, i.e., macro and micro scales, is derived. The optimization problem is solved using a bi-directional evolutionary structural optimization (BESO) method and the corresponding optimization procedure for the concurrent topology optimization is proposed. Several examples are presented to demonstrate the effectiveness of the proposed method.