A relieved sigh, in two words

Menos mal

MEH-nos mahl — Thank goodness / phew

"Menos mal que llegamos a tiempo."
Thank goodness we arrived on time.

Always reacts to something that could have gone wrong but didn't — there's a built-in sense of relief you can't get from a plain "good."

"My go-to phrase every single time I make my train with seconds to spare."— Graciela