The assessment of a frozen shoulder (FS) is critical for evaluating outcomes and medical treatment. Analysis of functional shoulder sub-tasks provides more crucial information, but current manual labeling methods are time-consuming and prone to errors. To address this challenge, we propose a deep multi-task learning (MTL) U-Net to provide an automatic and reliable functional shoulder sub-task segmentation (STS) tool for clinical evaluation in FS. The proposed approach contains the main task of STS and the auxiliary task of transition point detection (TPD). For the main STS task, a U-Net architecture including an encoder-decoder with skip connection is presented to perform shoulder sub-task classification for each time point. The auxiliary TPD task uses lightweight convolutional neural networks architecture to detect the boundary between shoulder sub-tasks. A shared structure is implemented between two tasks and their objective functions of them are optimized jointly. The fine-grained transition-related information from the auxiliary TPD task is expected to help the main STS task better detect boundaries between functional shoulder sub-tasks. We conduct the experiments using wearable inertial measurement units to record 815 shoulder task sequences collected from 20 healthy subjects and 43 patients with FS. The experimental results present that the deep MTL U-Net can achieve superior performance compared to using single-task models. It shows the effectiveness of the proposed method for functional shoulder STS. The code has been made publicly available at https://github.com/RobinChu9890/MTL-U-Net-for-Functional-Shoulder-STS.Clinical Relevance- This work provides an automatic and reliable functional shoulder sub-task segmentation tool for clinical evaluation in frozen shoulder.