US military veteran Brian Kolfage posted a picture of the steel fence going up in the state of New Mexico.
He said it was being erected with more than $22m (£17m) in donations he raised through an online campaign last year.
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The fundraiser was launched as Congress refused President Donald Trump funding for his signature campaign promise.
Mr Kolfage, an Air Force veteran, triple amputee and Purple Heart recipient, tweeted a series of videos and images showing the new barrier on Sunday.
“WE MADE HISTORY! The first crowdsource funded international border wall!” Mr Kolfage wrote on Twitter.
The barrier is being built through his nonprofit organisation WeBuildtheWall Inc, which he set up after organising a GoFundMe campaign in December entitled We The People Will Fund The Wall.
Former White House chief strategist Steve Bannon is chairman of WeBuildtheWall’s advisory board.
Kris Kobach, a former Kansas secretary of state who is now general counsel for WeBuildtheWall, told CNN the privately built section would cost up to $8m.
The group has hired Fisher Industries, a North Dakota-based contractor that Mr Trump had argued should be appointed to build the wall, according to the Washington Post.
Trump supporter Jeff Allen, 56, said the barrier is being built on land he co-owns in the city of Sunland Park, New Mexico, across the border from Ciudad Juarez, Mexico.
He said the section, about half a mile long, would be finished by the end of the week.
Mr Allen told AFP news agency: “This is Americans’ way of saying, ‘Congress, you’re worthless, and we’re fighting it. We’re going to build [the wall] ourselves.’
“This is not Europe. This is America. We protect our borders.”
He denied hating immigrants, saying he is married to a Mexican woman, and his daughter was born in Ciudad Juarez.
“This is not about racism,” Mr Allen told AFP. “This is about me protecting myself, and America having a secure border.
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“If people want to immigrate, they should go to a port of entry and apply.”
WeBuildtheWall said it was just the beginning of its mission to secure the US southern border.
“Buckle up, we’re just getting started!” the group wrote on Facebook.
US Customs and Border Protection told the BBC: “This project is not connected to our efforts.
“Please reach out to the company leading construction for any information related to their endeavour.”
Last week a court blocked a plan by the Trump administration to channel defence department funds to build a border wall.
A federal judge granted the injunction against the use of $1bn in Arizona and Texas because it had not been approved by Congress.