You will never ever be able to have a 'solid understanding' of modern theoretical physics in the sense you have a solid understanding of complex analysis, noone does. (A notable exception is Relativity.)
Nevertheless, some books. Feynman lectures on physics (3 volumes): to learn the 'physical insight' part. Really really good. Landau (many volumes): I personally don't like Landau, but it's pretty standard and comprehensive.
http://www.amazon.com/Road-Reality-Complete-Guide-Universe/d...
Its one thing to go from mathematical physics to theoretical physics, its another thing to go from pure math with a theoretical computer science bent to mathematical physics and theoretical physics. Does this difference make sense, or am I missing some observation? (i don't know enough to know which is more likely)