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Finding optimal solutions to combinatorial optimization problems is pivotal in both scientific and technological domains, within academic research and industrial applications. A considerable amount of effort has been invested in the development of accelerated methods that leverage sophisticated models and harness the power of advanced computational hardware. Despite the advancements, a critical challenge persists, the dual demand for both high efficiency and broad generality in solving problems. In this work, we propose a general method, Free-Energy Machine (FEM), based on the ideas of free-energy minimization in statistical physics, combined with automatic differentiation and gradient-based optimization in machine learning. The algorithm is flexible, solving various combinatorial optimization problems using a unified framework, and is efficient, naturally utilizing massive parallel computational devices such as graph processing units (GPUs) and field-programmable gate arrays (FPGAs). We benchmark our algorithm on various problems including the maximum cut problems, balanced minimum cut problems, and maximum \(k\)-satisfiability problems, scaled to millions of variables, across both synthetic, real-world, and competition problem instances. The findings indicate that our algorithm not only exhibits exceptional speed but also surpasses the performance of state-of-the-art algorithms tailored for individual problems. This highlights that the interdisciplinary fusion of statistical physics and machine learning opens the door to delivering cutting-edge methodologies that will have broad implications across various scientific and industrial landscapes.