The Qur'an doesn't leave any doubt that this barrier is physical as it states:
"Bring me sheets of iron" - until, when he had leveled [them] between the two mountain walls, he said, "Blow [with bellows]," until when he had made it [like] fire, he said, "Bring me, that I may pour over it molten copper." (96)
So Gog and Magog were unable to pass over it, nor were they able [to effect] in it any penetration. (97)
[Dhul-Qarnayn] said, "This is a mercy from my Lord; but when the promise of my Lord comes, He will make it level, and ever is the promise of my Lord true." (18:96-98)
so it is a barrier made from iron and molten copper.
The Qur'an further counts among the signs of al-Qiyamah:
Until when [the dam of] Gog and Magog has been opened and they, from every elevation, descend (21:96)
In the sunnah you may read:
That the Prophet (ﷺ) once came to her in a state of fear and said, "None has the right to be worshipped but Allah. Woe unto the Arabs from a danger that has come near. An opening has been made in the wall of Gog and Magog like this," making a circle with his thumb and index finger. Zainab bint Jahsh said, "O Allah's Messenger (ﷺ)! Shall we be destroyed even though there are pious persons among us?" He said, "Yes, when the evil person will increase." (See for example in Sahih al-Bukhari)
The Prophet (ﷺ) said, "Allah has made an opening in the wall of the Gog and Magog (people) like this, and he made with his hand (with the help of his fingers).
(See for example in Sahih al-Bukhari)
"Gog and Magog people dig every day until, when they can almost see the rays of the sun, the one in charge of them says: "Go back and we will dig it tomorrow." Then Allah puts it back, stronger than it was before. (This will continue) until, when their time has come, and Allah wants to send them against the people, they will dig until they can almost see the rays of the sun, then the one who is in charge of them will say: "Go back, and we will dig it tomorrow if Allah wills.' So they will say: "If Allah wills." Then they will come back to it and it will be as they left it. So they will dig and will come out to the people, and they will drink all the water. The people will fortify themselves against them in their fortresses. They will shoot their arrows towards the sky and they will come back with blood on them, and they will say: "We have defeated the people of earth and dominated the people of heaven." Then Allah will send a worm in the napes of their necks and will kill them thereby.'" The Messenger of Allah (ﷺ) said: "By the One in Whose Hand is my soul, the beasts of the earth will grow fat on their flesh."
(See in Sunan ibn Majah)
Neither the Qur'an nor the Sunnah give further information on the location of this barrier except with that which is quoted in the verses (18:93-98).
We could discuss and refute a lot of claims in this context many people say that Gog and Magog are the offspring of Nuh's () son Yafit some claim that they are Turks (as Yafit is called the father of Turks in a hadith in Musnad Ahmad), some scholars claim they are the Mongols and others say the Chinese/Japanese/Corean etc.. There are statement pretending that in both the Umayyada and 'Abasid dynasty a delegation was sent out to the Caspian sea to repair the barrier (both claims have no strong foundation nor has any other claim of those I've listed before). A very strange narration pretends that they are offspring coming from Adams () semen that has been mixed with soil.
For example: as far as I know the Chinese wall however nice it might look has never really served as a barrier -at least as intended- as it was also never been built from iron and molten copper, and always just collapsed at strategic locations by rain _at least at the time it was built to save China from the Mongols etc.- and therefore was no barrier against the Mongols. All this hardly sound like a good evidence to consider the Chinese wall as the wall or barrier built by Dhu-l-Qarnayn.
Maybe the best answer on where is this barrier was given in this article -in Arabic- saying that the fact that a location was not described nor a location as described has not been found doesn't mean that it doesn't exist, as it might be under the sea or in a place that has not yet been discovered or there may be a -divine- reason or wisdom behind this we don't know but should accept.
See also islamqa #3437