The space complexity of a Segment Tree is O(n).
In a typical Segment Tree you have 2n - 1 nodes. You have exact n leave nodes, and in order to connect all those leaves up to a tree you need n-1 additional nodes (similar argument to why a tree with n nodes has n-1 edges).
There are however some implementations of Segments Trees, that use 4n nodes. E.g. the recursive implementation from https://cp-algorithms.com/data_structures/segment_tree.html uses 4n nodes, in order to have a simpler indexing of the nodes. While the iterative implementation from https://codeforces.com/blog/entry/18051 uses 2n-1 nodes. (Notice, it's also possible to implement the recursive version with 2n-1 nodes. In fact the linked website even discusses such an approach.)