In terms of excellence at his or her sport, Gretzky is tops. You could make a case for Simone Biles, Katie Ledecky, or Michael Phelps, but their sports aren’t big enough, and/or their specialties are too narrow.
Soccer and tennis don’t have a clear GOAT. Pele vs Messi is a legitimate debate, as is the GOAT among the tennis big 3.