The wall was built by slaves, and it's estimated that millions died to build it.
The Chinese were using the wall to fend off the Great Mongol Empire. China was the smaller empire. Eventually, it was incorporated into the Mongol empire, which extended from eastern Europe to the Korean peninsula.
If Mexico had a wall to prevent invasion by the US, it would be serving a similar purpose.
However, the US already has a lot of control over Mexico. Many of the presidents were educated in the US, or worked for American corporations.