In the brief footage, published earlier this week by Instagram user Jaciel Ortega, one officer seems to pretend to help another "climb" the structure while a third officer snaps a photo.
President Donald Trump visited the location on Tuesday as part of his first trip to California since taking office last January. He inspected eight prototypes, standing between 18 and 30 feet high, for his proposed wall.
"On a day so full of protest and pain this is what the San Diego Police Department was doing," Ortega wrote in the caption for the video, which was recorded from a distance. "These are the officers that are on the streets terrorizing communities of color."
The San Diego Police Department said it had just learned of the incident after other media inquiries and is looking into it. No officers have been suspended.
The department said it is trying to determine where the incident occurred.