That's tough dude.
I've worked in a several different spheres with physics graduates, in under/grad/doctorate levels.
I'm a CS person, and they were all shoehorned into that space as well, which actually worked out nicely (multi-discipline roles on the same research team is a good thing imo).
Not sure what to say, I think maybe past a masters it can be intimidating on a resume in the private sector, is what I'm told. But if you have a passion and want to be a PI on a research topic, then go the phd track.
If you're not sure if research is something that would interest you, then def do a master being a research assistant (ra, which is often paid) to see if that's you're cup of tea.