First of all, the maths:

learn maths to the extent that you can solve differential equations with ease. After a point you
won't be a able learn much more without knowing calculus.

Buy used textbooks or follow video courses to learn the basics of integral and
differential calculus after you nail down every concept in pre-calc.

If you're overly keen about it like I was, learn multi-variable calculus.

-I recommend stewart's multivariable calculus textbook.
After you're done with the maths you need general physics knowledge like the major
branches and current researches etc.
After you have a feel for what physics is start by learning classical mechanics. There are
countless textbooks and online sources and for this case you cant go wrong with any of them
since its pretty basic stuff. But I recommend the schaums college physics: It's cheap and
easy to understand not to mention the ridiculous number of problems it offers.

For classical mechanics start with kinematics: newton laws, uniformly accelerated
motion, harmonic motion, projectile motion and so on. Then move onto thermal physics.
Make sure you understand this concept very well because the understanding of
thermodynamics will be very helpful for further subjects.

After kinematics and thermodynamics my opinion is that you should learn electricity
and magnetism. Learn about circuitry and magnetism and don't be afraid of Maxwell
and his equations.

Then start trying to understand relativity, special at least because general relativity is
far more complex then learn relativistic kinematics. (this is not classical physics but you
should still know it before starting quantum mechanics)

You should also have a pretty good understanding of electromagnetic waves and
optics.

After classical mechanics move on to quantum mechanics: the physics of the small and
strange. Quantum mechanics is a relatively hard concept to grasp. As for reading material
you should definatley read dirac's principles of quantum mechanics cover to cover. After that
get a textbook and solve problems.
After you have a good understanding of quantum mechanics explore particle and accelerator
physics.
Beyond this point it is up to you, now you know the basics of physics and you can
understand any further concepts. In my case for example I looked into gravity and string
theory after teaching myself physics for a considerable portion of my relatively short life time.

After you learn this much physics your understanding of everyday concepts change. For
example you will know why street lamps are yellow or why a singer can shatter a wine glass
with her voice. Besides everyday concepts, you will know how to theoretically break the law
of conservation of energy and you will know why two like charges repel each other and so
on.
Good luck! If you like mathematical subjects physics wont disappoint you!