Hello, I recommend you COMSOL: it's the king of multiphysics finite element software. It includes many interesting couplings, like the thermal-electromagnetic you want.
ANSYS or Comsol should be good. However, it might be expensive. GetDP (http://getdp.info/) is good open source tool but without UI, so you should invest significant time to study it. CENOS platform (https://www.cenos-platform.com/) is good platform based on GetDp but fixing the issue of usability.