The direct conversion of solar energy and water into a storable fuel via integrated photoelectrochemical (PEC) devices is investigated. Particularly, the proposed device uses concentrated solar irradiation in order to minimize the amount of rare and expensive components such as light absorbers and catalysts. Consequently, heat management becomes crucial for device performance. We present a 2D coupled multi-physics model using finite element and finite volume methods to predict the performance of the integrated PEC device. The model accounts for charge generation and transport in the triple junction solar cell and the components of the integrated electrolyzer (polymeric electrolyte and solid electrode), electrochemical reaction at the catalytic sites, fluid flow and species transport in the channels delivering the reactant (water) and removing the products (hydrogen and oxygen), and radiation absorption and heat transfer in all components. The model developed shows to be a valuable design and optimization tool for integrated PEC devices working with concentrated irradiation and at elevated temperatures.