If you don't mind verifying everything, just run an SPV node. It's as simple as that

You mean, connect with an SPV node? If you run your own SPV node, you're verifying everything.
However, when I first run Bitcoin Core / Bitcoin Knots, it only gives me two options. Both options require me to download the entire 350GB blockchain, regardless of whether I want to run a full node or a pruned node.
This is the only thing giving you more security over an SPV node though.
You mean privacy? Connecting to an SPV node has no difference from running your own in terms of security.
Unpruned costs 350GB. Pruned requires trusting third parties for historical data.
Both pruned and unpruned requires you to trust none. With pruned you just then get rid of the blocks you had downloaded to save up storage. Note that once you start syncing as a pruned node, you can only choose specific wallet(s). Once you finish the synchronization, no new wallets can be loaded unless you're fine by re-syncing it.