I had the same problem. The inconvenient is that QGIS seems that is not able to understand correctly the projection information stored on the .jp2 image files.
I recommend you to follow these steps:

 (This worked on QGIS 3.10 A Coruña)

 1. Open an empty QGIS project file.
 2. Create a new projection by going to "preferences" -> "personalize projection".
[![enter image description here][1]][1]
 3. Go to [spatialreference.org][2] to search the projections used for Mars.
 4. The projection usually used by NASA and the USGS for Mars is the IAU2000:49910: Mars Equidistant Cylindrical. We should add this projection on QGIS.
 5. Click on the IAU2000:49910 and then click on "Well Known Text as HTML".
 6. Copy that text, which should be:

> PROJCS["Mars_Equidistant_Cylindrical",
>     GEOGCS["Mars 2000",
>         DATUM["D_Mars_2000",
>             SPHEROID["Mars_2000_IAU_IAG",3396190.0,169.89444722361179]],
>         PRIMEM["Greenwich",0],
>         UNIT["Decimal_Degree",0.0174532925199433]],
>     PROJECTION["Equidistant_Cylindrical"],
>     PARAMETER["False_Easting",0],
>     PARAMETER["False_Northing",0],
>     PARAMETER["Central_Meridian",0],
>     PARAMETER["Standard_Parallel_1",0],
>     UNIT["Meter",1]]

This code defines the ellipsoid and the projection for Mars.

 7. Return to QGIS and paste on the opened window and give it an easy name to identify:
[![enter image description here][3]][3]
(Remember the format must be: WKT - Welll Known Text)
 9. Load the ESP_036925_1985_(COLOR/RED) images. Ignore possible errors about projections.
 10. Now change **the project projection** to IAU2000:49910.
The images now should be correctly georeferenciatied: 
[![enter image description here][4]][4]

If this doesn't worked for you, I would recommend to update to a newer version of QGIS and try it again.


I hope this helped you, sorry for my English.

  [1]: https://i.sstatic.net/RFfsM.png
  [2]: https://spatialreference.org/ref/?search=mars
  [3]: https://i.sstatic.net/OVOQa.png
  [4]: https://i.sstatic.net/LPZFY.jpg