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Endowing materials with physical intelligence holds the key for a progress leap in robotic systems. In spite of the growing success for macroscopic devices, transferring these concepts to the microscale presents several challenges connected to the lack of suitable fabrication and design techniques, and of internal response schemes that connect the materials' properties to the function of an autonomous unit. Here, we realize self-propelling colloidal clusters which behave as simple finite state machines, i.e. systems built to possess a finite number of internal states connected by reversible transitions and associated to distinct functions. We produce these units via capillary assembly combining hard polystyrene colloids with two different types of thermo-responsive microgels. The clusters, actuated by spatially uniform AC electric fields, adapt their shape and dielectric properties, and consequently their propulsion, via reversible temperature-induced transitions controlled by light. The different transition temperatures for the two microgels enable three distinct dynamical states corresponding to three illumination intensity levels. The sequential reconfiguration of the microgels affects the velocity and shape of the active trajectories according to a pathway defined by tailoring the clusters' geometry during assembly. The demonstration of these simple systems indicates an exciting route to build more complex units with broader reconfiguration schemes and multiple responses towards the realization of autonomous systems with physical intelligence at the colloidal scale.