Most of the retaining walls in Yellowstone were built using boulders from the rhyolite flows around the central plateau.
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The rhyolite was used because it was available close by and was relatively workable with hand tools. Most walls have this polygonal style.
I think most of this work was done in the 1930’s, although there have been changes since then.
The rhyolite flows south of Lewis Lake along the road to the south enterance were some of the best sources for stone for these walls.