During the second stop of the president's nine-day tour of the Middle East and Europe, Trump later called it a "great honour" to visit the wall.
The president arrived at the wall wearing a black skullcap (yarmulke), as is the tradition at Jewish holy sites, alongside first lady Melania Trump, Ivanka Trump and his senior advisor Jared Kushner.
Trump added: "I can see a much deeper path, friendship with Israel."
He also toured the Church of the Holy Sepulchre, which by Christian tradition is where Jesus was crucified and the location of his tomb.
Senior administration officials have said that the historic trip is part of the president's efforts to highlight "the need for unity among three of the world's great religions" on his first foreign trip.
His administration however has not made it clear whether they will be changing long-standing US policy by declaring the wall's location to be Israel, versus Jerusalem.
US Secretary of State Rex Tillerson said "The wall is part of Jerusalem" but did not elaborate any further.
However, Trump's UN ambassador Nikki Haley, asserted that the wall is part of Israel.
She told the Christian Broadcasting Network: "I don't know what the policy of the administration is but I believe the Western Wall is part of Israel.
"I think that that is how, you know, we've always seen it and that's how we should pursue it."
The wall is part of the perimeter of the Jewish Second Temple and sits on territory Israel captured in the 1967 Middle East war.
The US has never recognised Israeli sovereignty over the territory occupied, including east Jerusalem, which the Palestinians want to make the capital of a future independent state.
