I'm an undergraduate myself, so I'm not comfortable telling you what a mathematical physics grad program would be looking for. However, I can offer you a basic outline of where your math studies may align well with your undergraduate physics coursework, so you can think about if you want to focus your mathematics studies to compliment what you'll do in physics.
Often, the first three semester constitute a basic intro sequence: Newtonian mechanics, E&M, optics, and quantum mechanics, with a bit of statistical mechanics/thermo and special relativity thrown in somewhere along the line (universities vary quite a bit in when those topics are covered).
If you look at upper-division physics courses, you'll see a much more advanced "redo" of the previous topics, and some "special electives," like general relativity (surprisingly often, this is not a required course), solid-state physics, more work with optics, etc.
In general: An undergraduate-level understanding of Real & Complex Analysis, Ordinary and Partial Differential Equations, and Linear Algebra will help you.
Upper-div classical mechanics typically covers formulations with the Lagrangian and Hamiltonian, and offers a more rigorous treatment of rigid-body rotations. Your first semester of physics, in theory, gives you all the physics concepts needed to solve problems involving a spinning top, but it certainly wouldn't be fun attacking that sort of problem using only that background.
Some related topics include Calculus of Variations and Lie Algebra.
For QM, note that a lower-division QM course generally only covers cases where the Schrodinger equation can be solved analytically, and while those cases are very important for the learner, they are not completely generalizable. The upper-division ones usually dig into Heisenberg's formulation with matrix mechanics, which in many cases, is easier to apply approximation methods. (They should also cover topics in perturbation theory, depending on how in-depth the courses are.)
If you take the upper division quantum mechanics courses, you can expect to see more of the applications of intense linear algebra and group theory.
Thermo/stat mech is all about dealing with large systems, think of something on the order of N=N+1, where there is no observable distinction between when the system had some number of particles, vs. if it had one more or less. Imagine a macroscopic sample of a gas that you might've worked with in a chemistry class. Nobody every asks you to determine the path an individual particle takes, or the velocity of an individual particle. (Food for thought, imagine what kind of memory (or storage) would be needed just to store the positions (in 3-space) of 1 mole of monatomic gas molecules.) Instead, you're mostly concerned with the macroscopic state of the system. Understanding probability theory and the use of statistics is important here.
With the upper-division E&M course(s), you'll be dealing with the formalism of vector calculus. In lower-division courses, you might often work primarily with the magnitude of vectors, and leave the direction as an afterthought, or give more heuristic justifications of where your final vector points. This is not so in a good upper-division course in electricity and magnetism. Expect LOTS of work with the vector calculus. (And solving many PDEs along the way, as-typical.)
If you end up doing general relativity, expect to work with nonlinear systems of PDE's. Unfortunately, if you try to work out the gravitational field due to two black holes in general relativity, you cannot simply superimpose the fields due to each black hole as if each were isolated in space. You must solve for the system.