$ SO_2(\mathbb{R}) $ does not have any maximal closed subgroups.
The maximal closed subgroups of $ SO_3(\mathbb{R}) $ are $ O_2(\mathbb{R}) $ as well as the two finite groups $ S_4 $ and $ A_5 $.
$ SO_4(\mathbb{R}) $ double covers $ SO_3(\mathbb{R}) \times SO_3(\mathbb{R}) $. So the six maximal closed subgroups of $ SO_4(\mathbb{R}) $ are the lifts through this double cover of the three subgroups of the form $ H \times SO_3(\mathbb{R}) $ and the three subgroups of the form $ SO_3(\mathbb{R}) \times H $, where $ H $ is one of the three maximal closed subgroups of $ SO_3(\mathbb{R}) $.
What are the maximal closed subgroups of $ SO_5(\mathbb{R}) $?
https://arxiv.org/pdf/math/0605784.pdf classifies all maximal closed subgroups of $ SO_5 $ whose identity component is not simple (here trivial counts as simple). According to this paper, pages 1024-1025, the maximal closed subgroups of $ SO_5 $ of this type are $$ S(O_3 \times O_2 ) $$ with two connected components and $$ S(O_4 \times O_1) \cong O_4 $$ also with two connected components.
Next, we consider maximal closed subgroups with nontrivial simple connected component.
By dimension, such a subgroup would be isogeneous to $ SU_2$ or $ SU_3 $.
There are no 5d irreps of $ SU_3 $ since the dimension of $ SU_3 $ irreps are given by the formula $$ \frac{(m_1+1)(m_2+1)(m_1+m_2+2)}{2} $$
I think that the irreducible real 5 dimensional irrep of $$ SO_3(\mathbb{R}) $$ is the identity component of a maximal closed subgroup of $ SO_5 $. Perhaps it is the entire maximal group? Or perhaps the normalizer $ N(SO_3(\mathbb{R})) $ is slightly larger?
Finally, what (if any) are the finite maximal closed subgroups of $ SO_5(\mathbb{R}) $? $$ S_6 $$ of order $ 720 $ is a finite maximal closed subgroup. There is a faithful 4d complex irrep of $ 2.S_6 \cong Aut(SL_2(9)) $ which is quaternionic (Schur indicator -1) so $ 2.S_6 $ is a subgroup of $ Sp_2 $. Thus $ S_6 $ is a subgroup of $ Sp_2/\pm I \cong SO_5(\mathbb{R}) $. One can also verify directly that $ S_6 $ has a faithful 5d real irrep (it is called the "standard representation" here https://groupprops.subwiki.org/wiki/Linear_representation_theory_of_symmetric_group:S6 and is obtained as the unique non trivial subrep of the defining permutation rep). Since this $ S_6 $ subgroup is irreducible and not a subgroup of $ SO_3 $ it it not contained in any infinite closed group. Since $ S_6 $ is maximal among the finite subgroups that is enough to conclude that $ S_6 $ is a finite maximal closed subgroup of $ SO_5 $.
The other finite maximal closed subgroup of $ SO_5 $ is the group of signed permutation matrices of determinant 1, which I denote $ W_5 $ see here Signed Permutations and Coxeter Groups $$ W_5 \cong W(D_5) $$ of order $ 5!2^5/2=1920 $ also known as the Weyl group of $ D_5 $. This is related, in a slightly convoluted way, to the PerfectGroup(1920,6) subgroup of $ Sp_2 $.
This group is irreducible and not a subgroup of $ SO_3 $. Thus all that remains to show is that it is maximal among the finite subgroups of $ Sp_2 $.
$ 2.W(D_5) $ is the intersection of $ Sp_2 $ with group XXVII from https://arxiv.org/abs/hep-th/9905212. XXVII isn't quite maximal among the finite subgroups of $ SU_4 $, since it is contained in group XXX. However $ 2.W(D_5) $ is maximal finite in $ Sp_2 $ because group XXX cannot be contained in $ Sp_2 $ by part (i) of theorem 8 of https://core.ac.uk/download/pdf/82740228.pdf (where $ 2.W(D_5) $ is referred to as calligraphic B*)
To summarize, the full list of maximal closed subgroups of $ SO_5 $ is \begin{align*} & S(O_3 \times O_2) \\ & S(O_4 \times O_1)\cong O_4 \\ & SO_3 \\ & S_6 \\ & W(D_5) \end{align*}
I'm interested in any references or thoughts on the correctness of this list. I'm especially curious about the maximality of the 5d irrep of $ SO_3 $, and thoughts on the finite maximal subgroups. Note that $ SO_3 \times SO_2 $ in $ SO_5 $ lifts to $ U_2 $ in $ Sp_2 $ and $ O_4 $ in $ SO_5 $ lifts to $ O_4 $ in $ Sp_2 $.
Note on $ n=6 $ case: Since $ SO_6(\mathbb{R})\cong SU_4/\pm I $ then the maximal closed subgroups of $ SO_6 $ are exactly the quotient by $ \pm I $ of the groups given in Maximal Closed Subgroups of $ SU_4 $ Namely, the maximal closed subgroups of $ SU_4 $ and their corresponding subgroups in $ SO_6 $ are \begin{align*} & N(T) \twoheadrightarrow N(T) \cong (SO_2 \times SO_2 \times SO_2) \rtimes S_3 \\ & S(U_3 \times U_1) \cong U_3 \twoheadrightarrow U_3 \\ & N(S(U_2 \times U_2)) \twoheadrightarrow S(O_2 \times O_4) \\ & N(SU_2 \otimes SU_2) \twoheadrightarrow N((SO_3 \times SO_3)) \\ & N(Sp_2) \twoheadrightarrow S(O_5 \times O_1)\cong O_5 \\ &4 \circ_2 2.A_7 \twoheadrightarrow 2 \times A_7 \\ &4 \circ_2 Sp_4(\mathbb{F}_3) \twoheadrightarrow 2 \times PSp_4(\mathbb{F}_3) \\ &N(2^{2(2)+1}) \twoheadrightarrow W_6 \end{align*} where in the second line $ U_3 $ is the image of the standard embedding of $ U_n $ into $ SO_{2n}(\mathbb{R}) $, the third group has cyclic 2 component group generated by minus the identity, and for the fourth group the normalizer has cyclic 4 component group generated by $$ \begin{bmatrix} 0 & I\\ -I & 0 \end{bmatrix} $$ where here $ I $ is the $ 3 \times 3 $ identity matrix.
Note that throughout we have used freely the commuting diagram where $$ Sp_2 \hookrightarrow SU_4 $$ double covers $$ SO_5 \hookrightarrow SO_6 $$
Also not that $ W_n $ and $ W(D_n) $ are isomorphic only for odd $ n $ so here $ W_6 $ truly is not isomorphic to $ W(D_6) $, for details see Signed Permutations and Coxeter Groups .