Mathematical modeling of lithium-ion batteries (LiBs) is a central challenge in advanced battery management. This paper presents a new approach to integrate a physics-based model with machine learning to achieve high-precision modeling for LiBs. This approach uniquely proposes to inform the machine learning model of the dynamic state of the physical model, enabling a deep integration between physics and machine learning. We propose two hybrid physics-machine learning models based on the approach, which blend a single particle model with thermal dynamics (SPMT) with a feedforward neural network (FNN) to perform physics-informed learning of a LiBs dynamic behavior. The proposed models are relatively parsimonious in structure and can provide considerable predictive accuracy even at high C-rates, as shown by extensive simulations.