In this article, micro-thermo-mechanical response of composites with shape memory alloy (SMA) fibers surrounded by the metallic/polymeric matrix under multi-axial proportional/non-proportional loadings is investigated. A three-dimensional constitutive model with capability of the simulation of martensite transformation, reorientation of martensite variants, pseudo-elasticity and shape memory effects of SMA fibers is implemented. Elastic and elastic-plastic constitute equations are also utilized to characterize the mechanical behavior of polymer and metal matrices. The solution domain includes a representative volume element (RVE) consists of an SMA fiber surrounded by corresponding matrix in a square array arrangement. Finite element modeling of the prescribed RVE is developed based on the virtual work in the state of the generalized plane strain. Governing equations are solved by means of an incremental and iterative procedure with satisfying periodic boundary conditions. The effects of fiber volume fraction, off-axis angle, matrix material and pre-strain on the micro-thermo-mechanical behavior of composites with embedded SMA fibers subjected to various multi-axial proportional/non-proportional loadings are examined and discussed in detail. The results are reported for the first time and can be served as benchmark for future studies dealing with the analysis of macro composite structures consist of SMA fibers.