City Wall is one of the two rewards you can choose after you have upgraded a level 2 city to level 3 (the other being Resources). If you choose City Wall, your city will gain a wall visual on the bottom. It grants a x4 defense bonus to any units inside. Enemy units in your city are not affected. This does not stack with the x1.5 buff that being in a city gives you.
Units in cities with walls will have a double shield appear around their health.