He's also insisting America's southern neighbour will pay for it.
Mr Trump signed an executive order to begin construction, which he expects will commence 'within months'.
The US president has also hinted he'd be willing to contemplate the use of torture against America's enemies.
Donald Trump made the comments when asked if he'd consider water-boarding in his first interview since taking up office last week.
Mr Trump told ABC News he believes “torture works”.
