Euclid will collect an enormous amount of data during the mission's lifetime, observing billions of galaxies in the extragalactic sky. Along with traditional template-fitting methods, numerous machine learning algorithms have been presented for computing their photometric redshifts and physical parameters (PPs), requiring significantly less computing effort while producing equivalent performance measures. However, their performance is limited by the quality and amount of input information, to the point where the recovery of some well-established physical relationships between parameters might not be guaranteed. To forecast the reliability of Euclid photo-$z$s and PPs calculations, we produced two mock catalogs simulating Euclid photometry. We simulated the Euclid Wide Survey (EWS) and Euclid Deep Fields (EDF). We tested the performance of a template-fitting algorithm (Phosphoros) and four ML methods in recovering photo-$z$s, PPs (stellar masses and star formation rates), and the SFMS. To mimic the Euclid processing as closely as possible, the models were trained with Phosphoros-recovered labels. For the EWS, we found that the best results are achieved with a mixed labels approach, training the models with wide survey features and labels from the Phosphoros results on deeper photometry, that is, with the best possible set of labels for a given photometry. This imposes a prior, helping the models to better discern cases in degenerate regions of feature space, that is, when galaxies have similar magnitudes and colors but different redshifts and PPs, with performance metrics even better than those found with Phosphoros. We found no more than 3% performance degradation using a COSMOS-like reference sample or removing u band data, which will not be available until after data release DR1. The best results are obtained for the EDF, with appropriate recovery of photo-$z$, PPs, and the SFMS.