There are plenty of inhospitable places here on earth where you could set up your anthropology experiment— deep under the ocean, for example, heck there was even a series of videogames made about this exact scenario. :)
More importantly, there is a bootstrap problem. Where are the funds going to come from? There is no commercial benefit from such an experiment except perhaps tourism. On the other hand, a space colony could develop a self sustainable economy, developing various enterprises from tourism, mining to manufacturing
You need to build structures that can withstand pressure, but that's not a problem. We sent people to the deepest parts of the ocean 80 years ago.
Bottom of the ocean is on average about 3.5 km deep. You can pump air in from the surface, which isn't an option on Mars. You have abundant water, which can be desalinated, or pumped in from elsewhere. You can communicate with the rest of Earth virtually instantly. Resupplying your underwater base is infinitely faster, easier and cheaper than resupplying Mars. In an emergency, getting to or from the underwater base from a major city is only a few hours compared with potentially years for Mars depending on the launch windows.
Colonists of the underwater base don't have to worry about health problems from low gravity, nor do they need to worry about cancers from the deadly radiation on Mars.
Sea base modules can be built on the surface and simply lowered into the sea. We have ample experience with underwater construction from thousands of deepwater oil rigs and other underwater projects. We also have experience from building many underwater habitats for research purposes.
I would guess building a deep underwater base is many orders of magnitude easier than sustaining humans on Mars.
Building structures that can withstand pressure, never fail catastrophically, and can be repaired is really hard. In contrast on Mars you only need a bit of dirt for radiation shielding and any atmosphere leaks can be repaired at a much more relaxed pace. People can walk around on Mars in simple suits, you can't leave your structures at the bottom of the ocean at all outside of a deep sea submarine. Building habitats on Mars is essentially just mining, and we have centuries of experience with that.
Getting energy at the bottom of the ocean is also difficult. Nuclear and geothermal are the only options, whereas on Mars you can use solar panels.