At the beginning of Episode I: The Phantom Menace, who has set up a blockade around Naboo?

At the beginning of Episode I: The Phantom Menace, the Trade Federation has set up a blockade around Naboo.

The opening crawl states that the Trade Federation has stopped shipping to Naboo and established a blockade during a dispute over trade taxation. Its battleships surround the planet and prevent normal traffic from entering or leaving.

Viceroy Nute Gunray leads the Trade Federation’s operation and communicates with the Jedi ambassadors sent to negotiate. Darth Sidious is the hidden Sith manipulator who orders and exploits the crisis, but he is not publicly identified as the party operating the blockade.

The blockade develops into a full invasion using the Federation’s battle droid army. Therefore, the broad canonical answer is the Trade Federation, with Gunray acting as its viceroy and local leader.