According to New York Times, the order is among a series of national security directives Trump is considering to issue in the days ahead - these include blocking Syrians and others from terror-prone nations from entering the US.

Report said the President will also review whether to resume the once-secret "black site" detention program; keep open the prison at Guantánamo Bay; and designate the Muslim Brotherhood a terrorist organization.

"Big day planned on NATIONAL SECURITY tomorrow. Among many other things, we will build the wall!" Trump wrote on Twitter on Tuesday night.

He is expected to sign the executive order for the wall during an appearance at the Department of Homeland Security on Wednesday, as Mexico's foreign minister, Luis Videgaray, arrives in Washington to prepare for the visit of President Enrique Peña Nieto of Mexico.

Peña Nieto will be among the first foreign leaders to meet the new president at the end of the month.