The Mediterranean landmark on Spain's southern border is the Rock of Gibraltar. It is a prominent limestone massif located at the entrance to the Mediterranean Sea, on the southern tip of the Iberian Peninsula, near the Strait of Gibraltar. The Rock of Gibraltar is a British Overseas Territory and a famous landmark known for its strategic location and historical significance.
The other options mentioned—Colossus of Rhodes, Isle of Thebes, and Peninsula of Malisow—are not located on Spain's southern border. The Colossus of Rhodes was an ancient statue in Greece, the Isle of Thebes is not a recognized Mediterranean landmark, and the Peninsula of Malisow does not correspond to a well-known geographic feature in this context.
