After finishing undergrad there are 2 main options to enter consulting at MBB

1. The most common path is via grad school, where MBA is still the degree with the highest probability of success. That being said, other prestigious degrees also help (recent incoming classes at McKinsey in popular US offices are 50% MBA and 50% degrees such as JD from Harvard/Yale/Upenn, MD from Ivy League schools, PhDs from top 10 schools etc. Not that many from analytics/data science courses for traditional consulting roles
2. The 2nd path is to become a subject matter expert in an industry of your choice, especially one that has a lot of problems that it hires consultants to solve. A good example of this is the Oil & Gas industry. Note that for this route to work independent of an MBA, you have to do cutting edge work on very relevant problems for which there are not many current solutions available. It cannot be purely operations or analytics roles which do not require in-depth understanding or expertise. An example of this could be how to implement digital transformations within the utilities sector. There are of course many relevant problems that you can solve but make sure these are top of mind for the industry and you gain a lot of in-depth knowledge while doing it

All the best,
Udayan