The Phocians had built the old wall at Thermopylae that Leonidas and the Greek defenders repaired before the battle.
The wall stood at the narrowest part of the pass, beside the hot springs that gave Thermopylae its name. Herodotus says the Phocians originally built it to protect their territory from the Thessalians, who threatened to invade from the north. They also diverted hot spring water into the pass, helping make the route more difficult to cross.
By 480 BC, the ancient fortification had largely fallen into ruin. When the Persian king Xerxes invaded Greece, the allied Greek force rebuilt the wall and used the constricted terrain to limit the advantage of the much larger Persian army. Leonidas and his troops fought near this defensive position, not at an open battlefield.
The Phocians are easy to confuse with the Locrians because both peoples lived in central Greece and contributed troops to the Greek defense. The Phocians also guarded the mountain path around Thermopylae, but the question asks who originally built the wall: the answer is the Phocians.