Solar selective coatings can be multi-layered materials that optimize the solar absorption while reducing thermal radiation losses, granting the material long-term stability. These layers are deposited on structural materials (e.g., stainless steel, Inconel) in order to enhance the optical and thermal properties of the heat transfer system. However, interesting questions regarding their mechanical stability arise when operating at high temperatures. In this work, a full thermo-mechanical multiscale methodology is presented, covering the nano-, micro-, and macroscopic scales. In such methodology, fundamental material properties are determined by means of molecular dynamics simulations that are consequently implemented at the microstructural level by means of finite element analyses. On the other hand, the macroscale problem is solved while taking into account the effect of the microstructure via thermo-mechanical homogenization on a representative volume element (RVE). The methodology presented herein has been successfully implemented in a reference problem in concentrating solar power plants, namely the characterization of a carbon-based nanocomposite and the obtained results are in agreement with the expected theoretical values, demonstrating that it is now possible to apply successfully the concepts behind Integrated Computational Materials Engineering to design new coatings for complex realistic thermo-mechanical applications.