We are going to have simple movement for Mario(No hitboxes, no wall jump of anything).
So we need him to animate properly based on the movements we are using. (Plus, this is not mobile friendly.)
So here are the animations:

when green flag clicked
switch costume to [idle v]
forever
if <<key [right arrow v] pressed?> or <key [left arrow v] pressed?>> then 
switch costume to [walk v]
wait (0.09) secs  
switch costume to [idle v]
else
switch costume to [idle v]
end
end

We are also going to add jump animation. But if you jump with the left or right arrows pressed, then Mario will walk in the air! We don't want THAT to happen! So use these correct scripts: (Just so you know, bookmark this tab so you can follow this whole tutorial!)

when green flag clicked
forever
if <<key [up arrow v] pressed?> and <<key [right arrow v] pressed?> or <key [left arrow v] pressed?>>> then
switch costume to [jump v]
end
end