For data-driven intelligent manufacturing, many important in-process parameters should be estimated simultaneously to control the machining precision of the parts. However, as two of the most important in-process parameters, there is a lack of multi-task learning (MTL) model for simultaneous estimation of surface roughness and tool wear. To address the problem, a new MTL model with shared layers and two task-specific layers was proposed. A novel parallel-stacked auto-encoder (PSAE) network based on stacked denoising auto-encoder (SDAE) and stacked contractive auto-encoder (SCAE) was designed as the shared layers to learn deep features from cutting force signals. To enhance the performance of the MTL model, the scaled exponential linear unit (SELU) was introduced as the activation function of SDAE. Moreover, a dynamic weight averaging (DWA) strategy was implemented to dynamically adjust the learning rate of different tasks. Then, the time-domain features were extracted from raw cutting signals and low-frequency reconstructed wavelet packet coefficients. Frequency-domain features were extracted from the power spectrum obtained by the Fourier transform. After that, all features were combined as the input vectors of the proposed MTL model. Finally, surface roughness and tool wear were simultaneously predicted by the trained MTL model. To verify the superiority and effectiveness of the proposed MTL model, nickel-based superalloy Haynes 230 was machined under different cutting parameter combinations and tool wear levels. Some other intelligent algorithms were also implemented to predict surface roughness and tool wear. The results showed that compared with the support vector regression (SVR), kernel extreme learning machine (KELM), MTL with SDAE (MTL_SDAE), MTL with SCAE (MTL_SCAE), and single-task learning with PSAE (STL_PSAE), the estimation accuracy of surface roughness was improved by 30.82%, 16.67%, 14.06%, 26.17%, and 16.67%, respectively. Meanwhile, the prediction accuracy of tool wear was improved by 46.74%, 39.57%, 41.51%, 38.68%, and 39.57%, respectively. For practical engineering application, the dimensional deviation and surface quality of the machined parts can be controlled through the established MTL model.