There are 2 things you need for Physics, Physics classes themselves and Math classes.
For math, you NEED the calculus sequence, linear algebra, both ordinary and partial differential equations, and probably some Real and Complex Analysis if you're focusing on theoretical work. In grad school it depends on your interests for what classes you should take. If you're into Gravity and Relativity then Topology and Differential Geometry are needed, and for Quantum Field Theory you would need/like advanced probability and the like (maybe some abstract algebra? idk). Don't know about the grad level math used for other areas, though I'd imagine for Unification or Quantum Gravity work you'd need all of the above with emphasis on abstract math.
As for Physics, undergrads ABSOLUTELY HAVE TO BE PROFICIENT IN THE FOLLOWING: Classical Mechanics, Electromagnetism, and Quantum Mechanics, usually in that order. Without those you're basically screwed in Physics. Also take labs and research projects whenever you can (prioritize research only if you have enough credits or are satisfied with labs), and depending on your school some advanced classes like Special Relativity may be open to you.
Obviously you cannot take all of those in addition to your ME degree right now, so re-enrolling at a later date will be necessary. If you don't have the funds to work towards another Bachelor's degree I would get a ME job to both help with money and make sure you aren't satisfied with ME and really want to change to Physics. Physicists generally lead a much harder life than most engineers. That's me assuming that you mean to get an Bachelor's though, if I interpreted that incorrectly and you meant something else you should read this:
https://www.physicsforums.com/threa...if-my-bachelors-degree-isnt-in-physics.64966/