I took the equivalent exam about 30 years ago, so take my answer with
a pinch of salt.
I think all these books are far too advanced to prepare for this
exam. In fact, we covered Rudin type material in the first year at
Cambridge, and Goldstein in the second year. I don't know the book by
Casella and Berger, but it looks like a good book that I could learn
from, and probably stuff we covered in part in the first year.
I had a really hard time downloading STEP exams, but my guess from
some of the help material I did find is that the content will be
closer to Calc 1 and 2, part of Calc 3, and parts of 1st semester ODE,
that would be covered in a typical undergraduate American university.
Probability wouldn't be anything more than knowing a few basic
distributions (normal, Poisson, that sort of thing). Only the
difficulty of the questions will be much higher.
The way I prepared was by doing a bunch of past papers.