To become a mathematical physicist, students should pursue a double degree in mathematics and engineering if direct programs in mathematical physics are unavailable. This approach allows for a solid foundation in both disciplines, essential for advanced studies in theoretical physics. Self-study in theoretical physics is also recommended to supplement formal education. Students should explore local university offerings and consider their options for specialization after completing an engineering degree.
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If there is no possibility to study theoretical or mathematical physics in your vicinity and you don't want to or cannot move far away, then I would suggest that you do a double degree in mathematics and engineering and study a bit of more theoretical physics yourself at home.