Since brass has a higher thermal expansion coefficient than steel, the brass rod will expand in length more than the steel tube. Since they are connected by a rigid plate, this will cause the brass rod to push on the plate and the steel tube to pull. The brass rod will experience compressive stresses while the steel rod experiences tensile stresses. Both will also experience thermal stresses and hoop stress if they come into contact within the steel tube. Both will also experience a bending stress caused by the weight of the rigid plate at the end.
@UCDengr did a great job of describing the stresses that develop as time passes (i.e. from t = 0 seconds).
Think of it as brass expanding faster, causing it to push on the plate at the free end. This causes the brass rod to experience compressive stress.
As steel does not expand as fast, it will now be “pulled” out by the plate at the free end. We have the steel under tensile stress.
Because it’s unsupported at one end, there’s a general distributed load being applied downwards and because of this, we experience a bending moment stress.