This study proposes a new computational framework for the multi-objective topology optimization of conjugate heat transfer systems using a continuous adjoint approach. It relies on a monolithic solver for the coupled steady-state Navier–Stokes and heat equations, which combines finite elements stabilized by the variational multi-scale method, level set representations of the fluid–solid interfaces and immersed modeling of heterogeneous materials (fluid–solid) to ensure that the proper amount of heat is exchanged to the ambient fluid by solid objects in arbitrary geometry. At each optimization iteration, anisotropic mesh adaptation is applied in near-wall regions automatically captured by the level set. This considerably cuts the computational effort associated with calling the finite element solver, in comparison to traditional topology optimization algorithms operating on isotropic grids with a comparable refinement level. Given that we operate within the constraint of a specified number of nodes in the mesh, this allows not only to improve the accuracy of interface representation and motion but also to retain the high fidelity of the numerical solutions at the grid points just adjacent to the interface. Finally, the remeshing and resolution steps both run within a highly parallel environment, which makes it possible for the proposed algorithm to tackle large-scale problems in three dimensions with several tens of millions of state degrees of freedom. The developed solver is validated first by minimizing dissipation in a flow splitter device, for which the method delivers relevant optimal designs over a wide range of volume constraints and flow rate distributions over the multiple outlet orifices but yields better accuracy compared to reference data from literature obtained using uniform meshes (in the sense that the layouts are more smooth, and the solutions are better resolved). The scheme is then applied to a two-dimensional heat transfer problem, using bi-objective cost functionals combining flow resistance and thermal recoverable power. A comprehensive parametric study reveals a complex arrangement of optimal solutions on the Pareto front, with multiple branches of symmetric and asymmetric designs, some of them previously unreported. Finally, the algorithmic developments are substantiated with several three-dimensional numerical examples tackled under fixed weights for heat transfer and flow resistance, for which we show that the optimal layouts computed at low Reynolds number, that are intrinsically relevant to a broad range of microfluidic application, can also serve as smooth solutions to high-Reynolds-number engineering problems of practical interest.