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"This is my place as it is yours, and soon enough you may have grave need of me. We walk beneath one of the hinges of the world." Melisandre gazed up at it, her breath a warm moist cloud in the air. Great was the lore that raised it, and great the spells locked beneath its ice. The Wall is more than just ice and stone, he said. It was built to keep out the Others and infused with more than just Ice and stone, it contained magic. The World of Ice and Fire, Ancient History: The Dawn Age But it seems clear that their speech originated, or drew inspiration from, the sounds they heard every day. The manner in which Brandon learned to comprehend the speech of the children is a tale in itself, and not worth repeating here. He was taken to a secret place to meet with them, but could not at first understand their speech, which was described as sounding like the song of stones in a brook, or the wind through leaves, or the rain upon the water. Maester Childer's Winter's Kings, or the Legends and Lineages of the Starks of Winterfell contains a part of a ballad alleged to tell of the time Brandon the Builder sought the aid of the children while raising the Wall. Their song and music was said to be as beautiful as they were, but what they sang of is not remembered save in small fragments handed down from ancient days. It is said that Brandon seeked the aid of the Children of the Forest to raise the Wall. Through Jeor Mormont we have had nine hundred and ninety-seven Lords Commander in unbroken succession, each chosen by the men he would lead, a tradition many thousands of years old." Maester Aemon, calm as always, said, " Your Grace, the Night's Watch has been choosing its own leader since Brandon the Builder raised the Wall. "If they choose wisely they won't be choosing me," moaned Dolorous Edd. "The choice of a Lord Commander belongs to the Sworn Brothers, and to them alone," insisted Ser Denys Mallister. "Do you want the king to wipe our arses for us too?" said Cotter Pyke angrily. The suggestion outraged some of the others. Brandon the Builder had laid his huge foundation blocks along the heights wherever feasible, and hereabouts the hills rose wild and rugged. But that was deceptive, Jon realized as they drew closer. Before them, the ice rose sheer from out of the trees like some immense cliff, crowned by wind-carved battlements that loomed at least eight hundred feet high, perhaps nine hundred in spots. The Wall was often said to stand seven hundred feet high, but Jarl had found a place where it was both higher and lower. Maybe one of the other Brandons had liked that story. Bran knew the story, but it had never been his favorite. Thousands and thousands of years ago, Brandon the Builder had raised Winterfell, and some said the Wall. "I could tell you the story about Brandon the Builder," Old Nan said. The Wall was built by Brandon the Builder, or so the legends say. As far as I can tell the shows information on this comes from the books, as such I've answered from a books perspective. You've asked only about the show, but this is never explicitly stated on in the show. However, at some point, the Night's Watch became too small to continue that and work on the Wall stopped, leaving it at it's current height of 700 feet. With each subsequent Lord Commander raising the Wall higher than his predecessor. The Night's Watch were founded to man the Wall, and they continued working on it. Legends say that he infused the Wall with magic spells to hold it together and prevent the Others from passing through it.
Then a man named Brandon the Builder (who also founded the Stark dynasty) built the Wall to prevent the Others from invading the realms of men again. Eventually, the Others were defeated and pushed back into the northern wastes where they came from. That being said, the legend goes that the Others (AKA the White Walkers) invaded the realms of men in a dread event known as The Long Night. Westerosi historians have no idea how valid these legends are. All that modern Westerosi know about this period are legends passed down through the ages.
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The construction of the Wall happened during a period known as the Age of Heroes, which was about 8000 years before the events of the current story.