Go to Filters -> Decor -> Add Border...
Then choose your border settings
From the GIMP help files
Border X size, Border Y size Here you can select the thickness of the
added border, in pixels. X size (left an right) and Y size (top and
bottom) may be different. Maximum is 250 pixels.
Border color Clicking on this button brings up the color selector
dialog that allows you to choose an “average” border color (see below,
Delta value on color).
Delta value on color This option makes the border sides to be colored
in different shades and thus makes the image to appear raised. The
actual color of the respective border side is computed for every color
component red, green, and blue from the “average” Border color as
follows (resulting values less than 0 are set to 0, values greater
than 255 are set to 255):
Top shade = Border color + Delta
Right shade = Border color - ½ Delta
Bottom shade = Border color - Delta
Left shade = Border color + ½ Delta