Is there anything along the lines of Polya's How to solve it? (mathematics) which can prepare one (Undergraduate/freshman students) for advanced level physics. More like give a glimpse into what sort of work one has to do in physics. Something related to problem solving as well.
I would suggest Leonard Susskind's "The Theoretical Minimum," which is both a lecture series and a book series. Based on the description, it might be what you're looking for, as it aims to teach the fundamentals of each field, at an advanced level, alongside the math that is needed to competently understand them.