How can a physics student get an internship in the field of finance/consulting?

1.  Either such companies come to your campus

2. Use your network/LinkedIn to get research/analyst based roles

3. Highlight skills such as analytics, leadership and communication, on your resume the most

4. Pre-MBA, I would always suggest brand of the company

you are working for > the work you are doing.

This is both because of the exclusivity you will have in such a large pool of candidates + the work you do pre-MBA can always be justified in any way you want.

So1-2 years of work ex is just about idle before MBA in any fields which you can successfully defend as Market Research, Finance, Analytics, and the like.