A real-time nonlinear model predictive control (NMPC) for the thermal management (TM) of the electrical components cooling circuit in a Plug-In Hybrid Electric Vehicle (PHEV) is presented. The electrical components are highly temperature-sensitive and therefore working out of the ranges recommended by the manufacturer can lead to their premature aging or even failure. Consequently, the goals for an accurate and efficient TM are two: to keep the main component, the Li-ion battery, within optimal working temperatures, and to consume the minimum possible electrical energy through the cooling circuit actuators. This multi-objective requirement is formulated as a finite-horizon optimal control problem (OCP) that includes a multi-objective cost function, several constraints and a prediction model especially suitable for optimization. The associated NMPC is performed on real-time by the optimization package MUSCOD-II and is validated in three different repeatable test-drives driven with a PHEV. Starting from identical conditions, each cycle is driven once being the cooling circuit controlled with NMPC and once with a conventional approach based on a finite-state machine. Compared to the conventional strategy, the NMPC proposed here results in a more accurate and healthier temperature performance, and at the same time, leads to reductions in the electrical consumption up to 8%.