The major land body just south of Spain is Africa. Specifically, the country of Morocco.
Gibraltar is a peninsula in southern Spain.
The Rock of Gibraltar is a limestone promontory located in Gibraltar, one of the southernmost points of the Iberian Peninsula. Gibraltar is a British overseas territory, an exclave once ceded by Spain. Ironically, the closest point in Africa to Gibraltar is Ceuta, a Spanish exclave in Morocco.
The southernmost country located on the North American continent is Panama. The capital of Panama is Panama City.
Gibraltar airport is located in Gibraltar. Gibraltar is a British Overseas Territory that is located on the tip of Spain. It is a small territory, with an area of 2.6 square miles.
New Zealand is the southernmost country which is located in the eastern hemisphere. It is located right below Australia (which is in the Eastern Hemisphere) by the South Pacific Ocean.
Spain
Malaysia
To put it simply, Gibraltar is the capital of Gibraltar. However, the non-capital Gibraltar is actually not a country, but a peninsula located at the southern edge of Spain. It's a self-governing British colony.
The southernmost land crossed by the Prime Meridian is the Antarctic continent, but there are no countries there. The southernmost country on the Prime Meridian is Ghana.
The southernmost capital of Europe is Nicosia, Cyprus. However, the southernmost capital actually located on the continent is Athens, Greece.
Geographically, Gibraltar is attached to Spain. Politically, it is a self governing Overseas Territory of the United Kingdom.