How do I perform multiple output regression? Or is it simply not possible?

My current assumption is that I would have to modify the code-base such that XGMatrix supports a matrix as labels and that I would have to create a custom objective function.

My end goal would be to perform regression to output two variables (a point) and to optimise euclidean loss. Would I be better off to make two seperate models (one for x coordinates and one for y coordinates).

Or... would I be better off using a random forest regressor within sklearn or some other alternative algorithm?