You are probably thinking that there have been lots for prizes for theoretical physicists, such as Einstein, Dirac, Pauli, Feynman, etc. And they all use heavy mathematics.
But not really. There is a big difference between theoretical physicists and mathematical physicists.
The term "mathematical physics" is sometimes used to denote research aimed at studying and solving problems in physics or thought experiments within a mathematically rigorous framework. In this sense, mathematical physics covers a very broad academic realm distinguished only by the blending of some mathematical aspect and physics theoretical aspect. Although related to theoretical physics, mathematical physics in this sense emphasizes the mathematical rigour of the similar type as found in mathematics.Penrose's work is squarely within mathematical physics.
On the other hand, theoretical physics emphasizes the links to observations and experimental physics, which often requires theoretical physicists (and mathematical physicists in the more general sense) to use heuristic, intuitive, and approximate arguments. Such arguments are not considered rigorous by mathematicians, but that is changing over time.
Nobel prizes were not given for this before. For example, a prize was not given for CPT symmetry, even tho it is considered a fundamental theorem.
Articles about this year's prize raise the related question -- why give a relativity prize to Penrose when Einstein did not get prize for relativity?
Even when an award goes to the right person, it may be for the wrong -- or at least arguable -- reasons. Such is the case with Albert Einstein, whose 1921 physics Nobel was bestowed not for the theory of relativity but for his work on the photoelectric effect.That article describes dubious prizes given for inventing poison gas and the lobotomy.
But Einstein was still not a mathematical physicist. The essence of Penrose's prize-winning contribution was a mathematical proof, but no one would say that about Einstein's contributions.
In the case of special relativity, Einstein's contribution is not considered mathematical because all those math formulas had been published already by others. Those who credit him credit him for a metaphysical view, as the math was not new, and the physical consequences were not either. The Nobel committee does not give prizes for metaphysical views.
Perhaps Einstein could have gotten one for general relativity, and it might have been shared with Grossmann and Hilbert. Maybe the committee had trouble assessing what Einstein really did, since he hid his sources so well.
Another comment from a biology professor:
Darwin’s theory is, like Einstein’s, amazing because of its sui generis character — because it didn’t involve much standing on the shoulders of giants who came before. And that is why we celebrate Darwin (and, to a lesser extent, Wallace), and don’t hail Arabic scholars as unrecognized harbingers of evolutionary theory.I don't get this at all. Einstein's work depended very heavily on earlier work. So did Darwin's, and Darwin acknowledges it.