(extended from already extensive comments)
See John Baez’s How to Learn Math and Physics (20 March 2020). Also, the mathoverflow questions Companion to theoretical physics for working mathematicians AND A soft introduction to physics for mathematicians who don't know the first thing about physics AND How does a Masters student of math learn physics by self?. For mathematics in particular, you would probably find it helpful to have on hand (study as needed) books on calculus of variations (these books for example), partial differential equations, complex variables (this book covers both PDEs and $\mathbb C$-variables), vector/tensor analysis (e.g. these books), functional analysis (e.g. Kreyszig’s book). Also, [3] & [4] & [5] here.
For what it’s worth, especially since some of these suggestions (Baez’s and the mathoverflow questions) are for those with a fairly high math/physics maturity level, I’ll give a rough overview of the main theoretical physics training in U.S. universities in the 1970s, restricted to this period because I haven’t kept up with what the current standard texts are. All links are to editions actually used at universities I attended then, and many of these were texts for courses I've taken.
Start with calculus-based physics, Halliday/Resnick. However, there were also three fairly thorough honors level “introductory” textbook series that extended well past Halliday/Resnick -- Feynman Lectures in Physics (3 volumes) and Berkeley Physics Course (5 volumes) and MIT Introductory Physics Series (4 volumes). Then one took modern physics (2nd year), using a text such as Semat/Albright or Weidner/Sells.
Then during your final two undergraduate years you took classical mechanics -- Fowles (usually for 1 semester only) or Symon (2 semesters) or Marion (2 semesters) -- electromagnetism -- Reitz/Milford/Christy (2 semesters) or Lorrain/Corson (2 semesters) -- quantum mechanics -- Dicke/Wittke (1 or 2 semesters) or Saxon (1 or 2 semesters) -- applied quantum mechanics -- Eisberg/Resnick (1 or 2 semesters) or Frauenfelder/Henley (1 semester) -- statistical mechanics -- Reif or Kittel (usually 1 semester, and don't finish the book, especially Reif’s book).
For the first year or two of graduate study (and for Ph.D. qualifying exams), the three main topics were classical mechanics -- Goldstein (usually 1 semester) was pretty much used everywhere -- electromagnetism -- Jackson (2 semesters) was pretty much used everywhere -- quantum mechanics -- Merzbacher (2 semesters) or Schiff (2 semesters). Statistical mechanics was also a key introductory graduate theoretical physics subject, but I don’t have any of the standard texts on my shelves (besides Rief and Kittel) and don’t recall what some might have been. Finally, for what it’s worth, Linear Operators for Quantum Mechanics by Jordan seemed to be widely read/consulted by the physics graduate students I knew, and it seems to me that for your purposes it would pair up well with Kreyszig’s book (mentioned above).
There are surely shorter paths to what you want (much of what the above texts cover is not strictly needed), but without knowing more about your background and due to my mostly limited to mid 1970s to early 1980s background in physics, a subject I later abandoned entirely (see my many comments scattered throughout the question/answers of this Academia SE question), I’ll let others chime in for that.
