Mr Trump said he did not discuss who would pay for the wall.
He also called Mexicans "amazing" and "spectacular" people, in contrast to earlier comments branding Mexican migrants "rapists" and "murderers".
Mr Pena Nieto said Mexicans had been hurt but he respected that Mr Trump genuinely wanted to build relations.
Mr Trump will later fly to Phoenix, Arizona, to deliver a key speech on measures to tackle illegal immigration.
The Republican has seen his poll ratings slip since the party conventions last month.
