Mechanical disc brakes use cables to activate the caliper, similar to traditional rim brakes. They'll stop you, but they lack the smooth, progressive feel—called modulation—that hydraulic brakes provide. On loose gravel surfaces where finesse matters, that difference becomes very noticeable, especially on long descents.
That said, mechanical discs show up on entry-level gravel bikes for a reason: they keep costs down. If you're mostly riding flat terrain at casual speeds, they'll get the job done. Just know that lever feel can feel spongy over time, and cable adjustments are more frequent.
If you can stretch your budget, hydraulic disc brakes are genuinely worth it for gravel riding. They offer far better control and consistency in wet or muddy conditions, and require less ongoing maintenance. Many riders who start with mechanical discs end up upgrading anyway, so if you're planning to ride regularly—especially on hills—save up for hydraulic from the start.