Can I use these both interchangebly?
He has gone into a difficult phase of his life.
He is going throuh a difficult phase of his life.

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Answer

Different tenses.  One is present tense.  One is past tense.  So, it would depend on whether the subject of the sentence is currently having difficult times or whether the difficult times are over.

Answer

"He is going through a difficult phase of his life" sounds a lot more natural to me.