Menos mal. ¡Qué alivio! Me da lo mismo.

This is a fixed expression. Literally, menos mal does mean less bad, but idiomatically it means thank goodness, luckily, or what a relief.

The idea is that a bad situation turned out to be not as bad as it could have been.

For example:

• Menos mal que llegaste a tiempo. = Thank goodness you arrived on time.
• Menos mal. = Thank goodness. / What a relief.

You should learn it as a set phrase rather than translating it word for word.

It can do both.

1. By itself, as in your sentence:

   • Menos mal.
     This works when the situation is already clear from context.

2. With que

   • a clause:
   • Menos mal que no llovió. = Thank goodness it didn’t rain.
   • Menos mal que me avisaste. = Good thing you told me.

So in your example, Menos mal. is perfectly natural because the speaker is reacting to something already understood.

Because qué is being used in an exclamatory way.

In Spanish, qué takes an accent mark when it means what! in an exclamation or question:

• ¡Qué bonito!
• ¡Qué alivio!
• ¿Qué quieres?

Without the accent, que usually works as a connector, like that:

• Dijo que venía. = He said that he was coming.

So here, the accent is necessary: ¡Qué alivio!

Yes, in standard Spanish you use both an opening and a closing exclamation mark:

• ¡Qué alivio!

This is normal Spanish punctuation. English only uses the closing mark, but Spanish uses:

• ¡ ... ! for exclamations
• ¿ ... ? for questions

In informal texting, native speakers sometimes skip the opening mark, but in correct written Spanish you should include both.

Alivio is a noun meaning relief.

So:

• ¡Qué alivio! = What a relief!

It can also appear in other structures:

• Sentí un gran alivio. = I felt great relief.
• Fue un alivio. = It was a relief.

In your sentence, ¡Qué alivio! is a very natural emotional reaction, especially after worry, stress, or uncertainty.

Literally, it is something like it gives the same to me, but natural English would be it’s all the same to me or I don’t mind.

Breakdown:

• me = to me
• da = gives
• lo mismo = the same thing / the same

The subject is often unstated, as it often is in Spanish. The implied subject is it or that:

• (Eso) me da lo mismo. = That’s all the same to me.

So grammatically, Spanish treats the thing or choice as the subject:

• El color me da lo mismo. = The color makes no difference to me.
• Ir hoy o mañana me da lo mismo. = Going today or tomorrow is all the same to me.

All three can mean that something makes no difference to you, but the tone is slightly different.

• Me da lo mismo = It’s all the same to me.
  Very common and natural. Often used when choosing between options.

• Me da igual = It’s the same to me / I don’t care.
  Also very common. In some contexts it can sound a bit more blunt than me da lo mismo.

• No me importa = I don’t mind / I don’t care.
  This can be neutral, but depending on tone it can sound more like I don’t care, which may sound less polite.

Examples:

• ¿Té o café? — Me da lo mismo.
• ¿Té o café? — Me da igual.
• ¿Te importa si abrimos la ventana? — No, no me importa.

In Spain, both me da lo mismo and me da igual are very common.

It can, depending on tone and context.

Used neutrally, it just means you have no preference:

• ¿Vamos a las 7 o a las 8? — Me da lo mismo.

But if you say it sharply or in a situation where someone expects interest, it may sound dismissive:

• Haz lo que quieras, me da lo mismo.

If you want to sound softer, you can say:

• Me da igual, la verdad.
• Cualquiera de las dos opciones me parece bien.
• No tengo preferencia.

So the phrase itself is normal, but intonation matters.

Yes. It is very flexible.

With nouns:

• El color me da lo mismo. = The color doesn’t matter to me.

With pronouns:

• Eso me da lo mismo. = That makes no difference to me.

With infinitives:

• Comer dentro o fuera me da lo mismo. = Eating inside or outside is all the same to me.

With a clause-like idea:

• Que venga hoy o mañana me da lo mismo. = Whether he comes today or tomorrow makes no difference to me.

This is one reason the phrase is so useful in everyday Spanish.

Because Spanish expresses this idea with the verb dar, not with ser.

The structure is:

• [thing/option] + me da lo mismo

So the thing is the grammatical subject, and me shows who feels that it makes no difference.

Examples:

• La comida me da lo mismo.
• Eso me da igual.
• Ir en tren me da lo mismo.

English uses totally different wording, so this is a good example of a phrase you should learn as a whole pattern.

They are mostly neutral everyday Spanish.

• Menos mal is common in both speech and writing.
• ¡Qué alivio! is also neutral and natural.
• Me da lo mismo is common in everyday conversation and is neither especially formal nor especially slangy.

In very formal situations, you might choose more explicit wording:

• No tengo preferencia.
• Me resulta indiferente.

But in normal conversation in Spain, your three expressions sound completely natural.

Yes, they can sound natural together if the speaker is reacting in stages.

For example:

• something worrying is resolved: Menos mal.
• the speaker expresses emotion: ¡Qué alivio!
• then says they have no preference about a remaining detail: Me da lo mismo.

They do not all mean the same thing:

• Menos mal = relief that something bad did not happen
• ¡Qué alivio! = emotional reaction of relief
• Me da lo mismo = no preference / it makes no difference to me

So they can appear together if the context supports them.