Due to the inherently coupled dynamics of vehicle and powertrain levels, this paper proposes an energy management strategy that co-optimizes the power split and operating mode selection for hybrid electric vehicles. A mixed integer nonlinear model predictive control (MPC) problem is formulated to guarantee the sub-optimality and robustness of the strategy. The optimization objectives are to achieve minimal fuel consumption, battery degradation inhibition and state-of-charge maintenance within the system physical constraints. However, the existence of logic events and continuous variables poses a significant challenge to solve the optimal control problem. A Pontryagin’s Minimum Principle (PMP)-Dynamic Programming (DP) based solution method is presented, avoiding segmented linear approximation to the powertrain model and relaxation approach to the problem. The PMP calculates the optimal control sequence and cost for each mode, then determines the optimal operating mode based on DP. Moreover, the Gaussian process regression (GPR) model is developed for vehicle speed prediction to deal with the stochastic uncertainties of driving conditions. Experimental results are demonstrated that the proposed algorithm offers about 2% to 10% cost reduction compared to the conventional MPC, while still keeping relatively close to the result of DP.