
The MCU appears to have made a few major changes to John Walker's shield in the franchise, compared to the shield he uses in the comics. Walker, who is played by Wyatt Russell, made his epic return to the MCU in Thunderbolts* (which is now going by a different title), which saw the character take a lead role. Russell has already been confirmed to return once again in Avengers: Doomsday.
What John Walker's Shield Isn't Made of In Thunderbolts*

Throughout Thunderbolts*, John Walker used his trusty shield on more than one occasion. However, the film seemingly confirmed one important detail about the shield that is different from Walker's shield in the comics - the MCU one is not made of Vibranium.
In the comics, Walker's shield is made from Vibranium, the same material used for Captain America's shield. It is extremely durable to the point that it is nearly invincible, a quality that Walker's shield in Thunderbolts* didn't possess.
There are a couple of indicators in Thunderbolts* that prove Walker's shield in that movie is not made of Vibranium. First off, there are tons of scratches and gashes in the shield. Those battle marks can be seen on the shield at multiple points throughout the film, but they are better highlighted in one of the movie's official posters.

On the poster, Walker's shield is featured in a close-up and directly in good lighting, and those scratches can be easily seen. If Walker's shield were Vibranium, it would not have nearly any of those marks, or potentially no marks or scratches at all.

Another way to tell that Walker's MCU shield is not Vibranium is what happened to it during the Thunderbolts' fight with Sentry. During the scuffle, Sentry grabbed Walker's shield and completely bent it into the shape of a taco with ease. Once again, if it were Vibranium, Sentry would likely not have been able to bend it nearly as easily.
What Is John Walker's MCU Shield Made Of?
Since Thunderbolts* essentially confirmed that John Walker's shield is not made of Vibranium, many likely want to know what it is made of. Since the shield can be easily bent and can be damaged, it is safe to assume that it is also not made of Adamantium, as Adamantium is another material that is extremely durable.
However, as seen in Thunderbolts*, the shield is still quite lethal, durable, and can be thrown around with no worry that it will break or not do its job. That indicates that it is likely made from some sort of military-grade metal alloy, meaning that it can definitely hold its own in normal situations, but could struggle under too much stress.

It is important to remember that John Walker did wield a Vibranium shield at one point, though. In The Falcon and the Winter Soldier, Walker was given Steve Rogers' shield after he took up the mantle of Captain America. However, that shield was taken from him by Sam Wilson and Bucky Barnes, and is now the one that Sam possesses as Captain America.

After his shield was taken, Walker made the decision to create his own. In the post-credits scene of The Falcon and the Winter Soldier Episode 5, Walker was shown putting his shield together and painting it.

Walker then used the shield against the Flag Smashers, but since it was not Vibranium, it suffered extreme damage, as showcased in Episode 6. Walker's shield that he used in Thunderbolts* was also likely made by Walker himself, so it is probably very similar to the one he created in the Disney+ show.
However, it is possible that he learned from his mistakes against the Flag Smashers and decided to use a material that was a bit stronger. The shield in Thunderbolts* was still heavily damaged, but since it happened in a fight against someone like Sentry, the blame can't really be put on Walker for making a poor shield. Instead, it more so goes to show just how powerful Sentry is.