Comparing wallet types in relation to security weakness:

Hardware wallet, paper wallet and wallets on airgapped devices are safest.
Desktop wallet is still safer because it is not used like phone, if you lose your phone you might lose you funds if compromised by hackers.
Then mobile wallets which is still better than web wallet
The weakest are web wallets.

No wallet will be safe if you do not protect your wallet.

About malware like Pegasus spyware, hardware wallet would be resistant to it, but web, mobile and desktop wallets are not all resistant to malware. Protect yourself from malware. You an start reading some of these topics:

Good topics on security and privacy