A good general progression is mechanics, modern physics, electricity & magnetism, thermodynamics/statistical mechanics, quantum mechanics. You'll cover relativity as part of both mechanics and E&M. Physics majors will usually take multivariate calculus (often including linear algebra), ordinary and partial differential equations, and a math methods class sophomore or junior year covering orthogonal functions, spherical harmonics, delta and green functions and other stuff.
Your EE math classes will probably cover much of this (especially lin alg and diff eqs) and some valuable stuff like complex variables and Fourier transforms that the physics majors just get a glimpse of. Make sure you fill in the rest with a math methods class or self study.
The question of books is always worth a vigorous discussion. Take a look at the Science Book Reviews in the Academic and Career forum here for detailed discussions on all the topics mentioned, and steer towards books that teach the way that suits you best (mathematical, physical, wordy or terse, etc.). Here are my suggestions, with choices skewed more towards the practical approach typical of engineering curiculuum.
Mechanics Marion, Classical Dynamics, 2nd edition (stay clear of recent editions which are poorer).
Kleppner, Intro to Mechanics is well liked, though I haven't used it.
Modern Physics Tipler
E&M Schwartz, Principles of Electrodynamics. Written by a Nobel laureate, available now for just $12 from Dover, this is not an easy book but it conveys the beauty and unity of E&M better than any other undergrad book.
Reitz and Milford. Straightforward E&M text with more applications (especially magnetism and waveguides) than most.
Griffiths, Intro to Electrodynamics is a standard choice for physics majors.
Math Methods Boas or Riley
Quantum Mechanics Anderson, Intro to QM and Modern Physics. Out of print (so you can get it used cheaply!), one of the most straightforward and logical treatments of undergrad QM.
That should take you two or three years to get through since you are presumably studying engineering full time!