They're both good and much better than old-school banks like SVB / FRB etc. Brex also offers charge cards which Mercury doesn't (not sure if they have debit cards) so Brex has a broader set of things to offer.
Satchel a SaaS buying-guide (kinda like Wirecutter for startups) wrote an in-depth guide here https://satchel.com/store-of-money/#recommendations and recommends Brex Cash.