The Strait of Gibraltar connects the Atlantic Ocean and the Mediterranean Sea.

Option 1, which suggests that it connects the Red Sea and Mediterranean Sea, is incorrect. The Strait of Gibraltar is actually located in the western part of the Mediterranean Sea and does not connect to the Red Sea.

Option 2, which suggests a connection between the Red Sea and Arabian Sea, is also incorrect. The Strait of Gibraltar is located in a different region and does not connect these two bodies of water.

Option 4, which suggests a connection between the Mediterranean Sea and the Black Sea, is also incorrect. The Strait of Gibraltar is situated between Europe and Africa, far from the Black Sea, so it does not connect these two bodies of water.

Therefore, the correct answer is option 3, the Atlantic Ocean and the Mediterranean Sea.