@ecterrab 

Thanks for your help. It worked for one momentum variable. When I tried to do triple integrals like:

FeynmanIntegral(1/p__1^2*1/(p__1 + p__2)^2*1/p__3^2*1/(p__2 + p__3)^2, [p__1, p__2, p__3]);
I get Error, (in Physics:-FeynmanIntegral) Physics:-FeynmanIntegral:-ModuleApply expects the integration variable of a FeynmanIntegral to be of the form p__n where n is an integer, representing a momentum loop variable; received [p__1, p__2, p__3]

I searched for help online, but I couldn't find any.

Thanks