You need to mod your PSP. For modern PSPs (6.61 firmware), use "Infinity 2.0" + "PRO-C". This takes about 10 minutes.
However, the PSP remains one of the absolute best devices to play Super Mario games. Through the power of Custom Firmware, Homebrew ports like Super Mario War and the SM64 Port , and robust emulators for NES, SNES, GBA, and PS1—you can carry the entire history of Mario in your pocket. Super Mario Psp Iso
Go to a trusted homebrew repository (like GameBrew or the official GitHub of the emulator). Download the emulator folder. It will usually be a folder with an EBOOT.PBP inside. You need to mod your PSP
But is there really an official Nintendo Mario game running natively on Sony hardware? The short answer is no. However, the long answer is far more interesting. However, the PSP remains one of the absolute
Take your legal game cartridge, use a hardware dumper (like the Retrode or a DS flashcart) to extract the .nes , .sfc , or .gba file.