This paper presents parametric model order reduction (pMOR) by the Lagrange approach of matrix interpolation for the thermal-mechanical and reliability study of a power electronics module (PEM) with nonlinear behaviours. Most previous research in model order reduction (MOR) studies reports thermal-mechanical simulations using a sequentially coupled method. In this research, a direct-coupled thermal-mechanical analysis, which simultaneously solves the thermal and structural governing equations, has been used to obtain thermal and deformation results. Furthermore, for pMOR, the linear approach of matrix interpolation is limited to linear changes between sampled-parametric points. Hence, a new way of interpolating system matrices using the Lagrange interpolation method has been adopted to implement the matrix interpolation efficiently. The parametric reduced-order model (pROM) solution by the Lagrange approach of matrix interpolation agrees well with the full-order model (FOM) and takes similar computational time as the linear (bi-linear) approach of matrix interpolation. pROM simulations offer up to 85.5% reduction in computational time.