I guess that education systems differ quite a lot between different countries. So where you do your physics studies could make a significant difference. The OP is probably somewhat USA-centric. In Sweden there are two major undergraduate programs in physics. The general university physics program, and the engineering physics program. The latter is an engineering program and you are awarded an engineering degree. The contents, however, is mostly a physics program. For those going into an academic physics career it is as good a starting ground as the general university physics program. For those going into an engineering career, it is in some respects as good as or better than the more traditional engineering programs, and in some worse. The difference is that you learn less specific engineering, the advantage is that you learn more basic physics and mathematics, and general modelling skills. In USA the tradition seems to be more of traditional pure university physics programs. How about other places?
Physics Ph.D.-s are to a large extent recruited from the engineering physics program. A large fraction (I do not have actual reference here, somewhat anecdotic evidence) of physics Ph.D.-s go later to an engineering carrier, and that is made easier by the fact that those coming from an engineering physics background actually have a formal M.Sc. engineering degree.
The reason some continue to Ph.D. varies of course. But for many the dominating reason is: for fun. They like learning about the real world, this is an important reason (I think) that many are attracted to physics; to understand more about the actual real world that we are living in at a fundamental level. But not just the very fundamental level, an aspect of understanding the real world by actual modelling (mathematical modelling that is systematically tested against real empirical data) is also important, be it at a more fundamental or a more phenomenological level (depending what field of physics you go to). The second reason is they like problem solving, being able to work for a few years on a non-trivial problem but still realistically feasible due to supervision by a professor. Some have already from the start an idea for a carrier after the Ph.D., for some in academia, while others self-idetify as engineers and see the Ph.D. just as a temporary fun before they take up their engineering carrier. While others have a more carefree attitude and don’t want to take out future worries as carrier choicies before that day actually arrives. Of course many by choice or necessity (or unexpected oppertunity in few lucky cases) change their carrier plans later, even had they one to begin with. In particular, competition for jobs in academia is fierce, and many who wished for that end up in engineering even so. But that is one of the ideas behind the system. There are no sufficiently reliable methods to predict who will be good enough for an academic research carrier, so many more Ph.D.-s than is needed for that has to be produced. Anyway, since most can get reasonably good jobs as e.g. engineers the cost is not that high, so provided they have fun enough during their time as graduate students it is worth it.
The value of a physics Ph.D for engineering. is to a large extent more skills in problem solving and modelling generally. The value as an engineer of the more actual physics that you know as a Ph.D. as compared to an M.Sc is probably only rarely of significant value. Several other small but significant skills are also acquired, e.g., Ph.D.-s have often significantly (well, somewhat...) better English writing skills by having to write articles for actual publication. The value of engineering physics as compared to a more standard engineering program is similar, though the difference is smaller, and here some of the larger physics knowledge is slightly more often of actual practical use (though I think that more often the stronger training in applied mathematics is a more important advantage of engineering physics as compared to a traditional engineering program, but those are not independent; the strong training in applied mathematics comes from doing actual problem solving in physics).
Whether it is good or not to go into physics depends on your preferences and interests, and your skill profile. My guess from personal experience by myself and acquaintancies; Apart from personal interest, if your talent is for acquiring general modelling skills reasonably well, then going to engineering physics is probably better than going to traditional engineering. Many who go there do, but a significant number don’t completely “get it” despite being tought it and formally passing the course exams. For those a more traditional engineering program would have been better. As for continuing for a Ph.D., for most students they should do this if they are among the best in class as M.Sc.-s, and if physics is what they really enjoy in life. For most Ph.D.-s there is a rather large but not very large cost of doing a Ph.D., You delay your engineering carrier by approximately 5⁄2 years, based on a simple toy modell where a Ph.D. takes 5 years and a year as a physics Ph.D-student is worth a half year engineering experience engineering-carrier-wise. (The lower salary during the very time as Ph.D.-student is no real cost, because it is well compensated by the lower expensives by the life-style as a Ph.D.-student.) For me and many of my acquaintances, that was more than well worth the cost, while for others of course it would not be.
I guess that education systems differ quite a lot between different countries. So where you do your physics studies could make a significant difference. The OP is probably somewhat USA-centric. In Sweden there are two major undergraduate programs in physics. The general university physics program, and the engineering physics program. The latter is an engineering program and you are awarded an engineering degree. The contents, however, is mostly a physics program. For those going into an academic physics career it is as good a starting ground as the general university physics program. For those going into an engineering career, it is in some respects as good as or better than the more traditional engineering programs, and in some worse. The difference is that you learn less specific engineering, the advantage is that you learn more basic physics and mathematics, and general modelling skills. In USA the tradition seems to be more of traditional pure university physics programs. How about other places?
Physics Ph.D.-s are to a large extent recruited from the engineering physics program. A large fraction (I do not have actual reference here, somewhat anecdotic evidence) of physics Ph.D.-s go later to an engineering carrier, and that is made easier by the fact that those coming from an engineering physics background actually have a formal M.Sc. engineering degree.
The reason some continue to Ph.D. varies of course. But for many the dominating reason is: for fun. They like learning about the real world, this is an important reason (I think) that many are attracted to physics; to understand more about the actual real world that we are living in at a fundamental level. But not just the very fundamental level, an aspect of understanding the real world by actual modelling (mathematical modelling that is systematically tested against real empirical data) is also important, be it at a more fundamental or a more phenomenological level (depending what field of physics you go to). The second reason is they like problem solving, being able to work for a few years on a non-trivial problem but still realistically feasible due to supervision by a professor. Some have already from the start an idea for a carrier after the Ph.D., for some in academia, while others self-idetify as engineers and see the Ph.D. just as a temporary fun before they take up their engineering carrier. While others have a more carefree attitude and don’t want to take out future worries as carrier choicies before that day actually arrives. Of course many by choice or necessity (or unexpected oppertunity in few lucky cases) change their carrier plans later, even had they one to begin with. In particular, competition for jobs in academia is fierce, and many who wished for that end up in engineering even so. But that is one of the ideas behind the system. There are no sufficiently reliable methods to predict who will be good enough for an academic research carrier, so many more Ph.D.-s than is needed for that has to be produced. Anyway, since most can get reasonably good jobs as e.g. engineers the cost is not that high, so provided they have fun enough during their time as graduate students it is worth it.
The value of a physics Ph.D for engineering. is to a large extent more skills in problem solving and modelling generally. The value as an engineer of the more actual physics that you know as a Ph.D. as compared to an M.Sc is probably only rarely of significant value. Several other small but significant skills are also acquired, e.g., Ph.D.-s have often significantly (well, somewhat...) better English writing skills by having to write articles for actual publication. The value of engineering physics as compared to a more standard engineering program is similar, though the difference is smaller, and here some of the larger physics knowledge is slightly more often of actual practical use (though I think that more often the stronger training in applied mathematics is a more important advantage of engineering physics as compared to a traditional engineering program, but those are not independent; the strong training in applied mathematics comes from doing actual problem solving in physics).
Whether it is good or not to go into physics depends on your preferences and interests, and your skill profile. My guess from personal experience by myself and acquaintancies; Apart from personal interest, if your talent is for acquiring general modelling skills reasonably well, then going to engineering physics is probably better than going to traditional engineering. Many who go there do, but a significant number don’t completely “get it” despite being tought it and formally passing the course exams. For those a more traditional engineering program would have been better. As for continuing for a Ph.D., for most students they should do this if they are among the best in class as M.Sc.-s, and if physics is what they really enjoy in life. For most Ph.D.-s there is a rather large but not very large cost of doing a Ph.D., You delay your engineering carrier by approximately 5⁄2 years, based on a simple toy modell where a Ph.D. takes 5 years and a year as a physics Ph.D-student is worth a half year engineering experience engineering-carrier-wise. (The lower salary during the very time as Ph.D.-student is no real cost, because it is well compensated by the lower expensives by the life-style as a Ph.D.-student.) For me and many of my acquaintances, that was more than well worth the cost, while for others of course it would not be.