Use MasterBoy or mGBA for the handheld classics. Mario Homebrew: The Closest to a Native ISO
This is the holy grail. A developer managed to reverse-engineer Super Mario 64 and port it natively to the PSP. This isn't emulation; it runs directly on the hardware. super mario iso file for psp
However, that doesn't mean your PSP is Mario-less. Use MasterBoy or mGBA for the handheld classics