To say where you are from: "I'm from Spain" or "I'm Spanish". Nationalities are adjectives — always start with a capital letter in English (Spanish, French, Italian…).
Europe
Spain
/speɪn/
She is Spanish.
France
/frɑːns/
He is French.
Germany
/ˈdʒɜː.mə.ni/
She is German.
Italy
/ˈɪt.ə.li/
He is Italian.
Portugal
/ˈpɔː.tʃʊ.ɡəl/
She is Portuguese.
United Kingdom
/juˌnaɪ.tɪd ˈkɪŋ.dəm/
He is British.
Ireland
/ˈaɪə.lənd/
She is Irish.
Poland
/ˈpəʊ.lənd/
He is Polish.
Greece
/ɡriːs/
She is Greek.
Russia
/ˈrʌʃ.ə/
He is Russian.
Americas
United States
/juˌnaɪ.tɪd ˈsteɪts/
She is American.
Canada
/ˈkæn.ə.də/
He is Canadian.
Mexico
/ˈmek.sɪ.kəʊ/
She is Mexican.
Brazil
/brəˈzɪl/
He is Brazilian.
Argentina
/ˌɑː.dʒənˈtiː.nə/
She is Argentinian.
Rest of the World
China
/ˈtʃaɪ.nə/
She is Chinese.
Japan
/dʒəˈpæn/
He is Japanese.
India
/ˈɪn.di.ə/
She is Indian.
Australia
/ɒˈstreɪ.li.ə/
He is Australian.
Morocco
/məˈrɒk.əʊ/
She is Moroccan.
Capital letters:
In English, nationalities and languages ALWAYS start with a capital letter: Spanish, French, Brazilian, Chinese. Never write "she is spanish" — always "she is Spanish".