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Here are the Necessary ones:
1 )Klepnner and Kolenkow for mechanics
2)Thomas jr calculusStewart's Calculus, Courant calculus and definitely Wider's Calculus and Spivak's Calculus
3)The Feynman lectures are legendary books.
4)R. S longhurst optics, Hecht Optics and Max Born and Wolf Optics
5) Moreover you should refer to Lev Landau, the first 3 parts The 2nd part is particularly very good.
6)For electrodynamics Griffiths, Purcell andJackson are best.
7)For Thermodynamics Sears and Zemansky.
8)For Statistical Mechanics F. Reif.
9) For Quantum Mechanics, I would suggest Schiff, Griffiths and Whichmann.
10)For Mathematical Methods you should Consider Riley, Hobson and Bence or Erwin Kreyzing but Riley is better.
11)Consider Morin and Goldstein for classical mechanics. They have references to texts on Variational Calculus.
12) Further for Relativity do consider Lev Landau (2- classical theory of fields), Resnick and Bernard Schutz's Relativity.
13) For Maths I would also suggest Weinstein's Multivariate calculus, Charlie Harper Mathematical Methods and Gelfand for Variational Calculus.
14) S. L Loney and Bernard and Child for Trigonometry, Coordinate Geometry and Algebra.
15)Rudin and Spivak for Real Analysis. You'll get some references in Riley and Harper for Fourier Series and Complex analysis. Do consider them.
16)Do consider the Berkeley Series. Further if you want to go deeper in Relativity and Tensor Analysis, do consider Mister Thore and Wheeler.
17) Do consider Griffiths Particle Physics, though it's not in course but it is beneficial if you want to do MS.
18)If you really like Physics then have a look at Maxwell's treatise on Electrodynamics, though it isn't useful today, it will give you insights why vector calculus was developed.
19) How can I forget, Einstein's own book on Relativity. It's extremely good for beginners. And yes do solve the problems in the above books, particularly Griffiths, Morin and Reif. They will definitely give you a very tough time and you'll need to maintain a copy to which you can refer in future. Solving those problems and certain derivations, some derivations of your own are necessary if you want to do Research in Physics
If you want to do Research in Physics then the above books are necessary. You can get many of them on Archive. Org and Books. Org or Boonfi. NET. If you do not want to do Research in Physics then one from each category would be good enough.