In this paper, a multi-horizon model predictive controller (MH-MPC) is developed for integrated power and thermal management (iPTM) of a power-split hybrid electric vehicle (HEV). The proposed MH-MPC leverages an accurate short-horizon vehicle speed preview and an approximate forecast over a longer shrinking horizon till the end of the driving cycle. This multiple-horizon scheme is developed to cope with fast and slow dynamics associated with power and thermal responses. The main objective of the proposed MH-MPC is to minimize fuel consumption and enforce the power and thermal constraints on the battery state-of-charge and engine coolant temperature, while meeting the driving (traction) and cabin air conditioning (heating) demands. The proposed MH-MPC allows for exploiting the engine coolant as thermal energy storage, providing more flexibility for the HEV energy flow optimization. The simulation results show that the proposed MH-MPC provides near-optimal results in reference to the Dynamic Programming (DP) solution with an affordable computational cost. Moreover, compared with a more conventional MPC strategy, the MH-MPC can leverage the speed previews with different resolutions effectively to achieve the desired performance with satisfactory robustness.