Reddit mentions of The Princeton Companion to Applied Mathematics

I like Szekeres's A Course in Modern Mathematical Physics for referencing intro-grad-level material. It covers abstract linear algebra, differential geometry, measure theory, functional analysis, and Lie algebras, and teaches you some physics along the way.

More generally, the best "breadth" book on advanced mathematics is Princeton Companion to Mathematics by Gowers et al. and its slightly underachieving younger brother of a companion text, Princeton Companion to Applied Mathematics by Higham et al.. You won't properly learn advanced mathematics this way, but you'll get the bird's-eye view of modern research programs and the math underlying them.

If you want a more algebraic take on Szekeres's program to teach physicists all the math they need to know, check out Evan Chen's Napkin project, which is intended to introduce advanced undergrads (it's perfectly fine for grad students too) to a wide variety of advanced mathematics on the algebra side of things.

Since you're doing probability and statistics, check out Wasserman's All of Statistics and Knill's Probability Theory and Stochastic Processes for good, concise references for intro-grad-level material.

I will second what /u/Ovationification said, though. I didn't really learn anything with the above books, I just use them occasionally for reference or to think about pedagogy.