For example, the people who built up the whole machinery of quantum field theories and figured out how to use it to make predictions about results of experiments were theoretical physicists. The people who try to find exact definitions of such terms as "quantum field" and "path integral", which can be used to rigorously prove the results of theoretical physics (and perhaps some new results as well), are mathematical physicists. (There is still no rigorous version of quantum electrodynamics on ℝ4).
Theoretical physicists can sometimes get away with just barely knowing what a Hilbert space is, while mathematical physicists need to know a ****load of functional analysis and other difficult math (in particular topology and differential geometry).