Wall was born in Swift Current, Saskatchewan, the son of Alice ("née" Schmidt) and John Wall, Mennonites with Eastern European roots. John owned a local trucking company. Wall demonstrated an early interest in politics, citing time spent playing a Fraser Institute-funded economics board game called Poleconomy as an early influence. He also had a significant interest in music and hosted a rock show on a local radio station. Wall attended the University of Saskatchewan in Saskatoon, running for student council and graduating with an honours degree in Public Administration and an advanced certificate in Political Studies.