As DoggerDan noted clay minerals are present on Mars through the erosion of existing bedrock. The composition of the clays depends on the bedrock. Generally speaking the more Fe rich clay minerals, such as the smectite group are derived from the mafic bedrock like gabbros and basalts, which are abundant on Mars. Al rich clays, such as the kaolin group, mostly come from the more felsic rock types that are rich in aluminum. Here my Martian geology lets me down, but I know that these rocks are not so common. On Mars andesites or dacites may be the main source of Al rich clays.
This presence of clays tells us one key thing... once there was water on Mars. Water is need to provide the physical, and importantly, the chemical processes need to form the clays. The variety of clay minerals present can give us some indication about past water chemistry (pH etc.), surface temperature and weathering conditions on the Martian surface.
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