Both have unique challenges, but overall brucethemoose is right about the overall cost comparison. For instance, we could easily have a "space elevator" equivalent to the bottom of the ocean, it'd be a fraction of the cost of maintaining a freight network to mars. Pressure is hard to deal with, but not as difficult as it is to get shit out of a gravity well as dense as Earth.

The main point is the usable resources. You'd have a damn near infinite source of usable resources at the bottom of the ocean meanwhile on Mars everything would need to be scavenged or shipped.

The ocean is a lot closer though, which helps