There are a few kits and toys available (like this Revel kit), don't know what size you want but there might be something if you want an actual AT-AT. I see the legs are hinge joints that only bend long one plane, there isn't any ability to twist or rotate that I can see. Maybe in the top shoulder and hip joints there could be a ball joint in the original.
If I had to make one from scratch, I might use mdf for some of the leg parts and maybe different thicknesses of card over that. But since legs hold the weight of the whole thing, some 3mm aluminium strip might be best for the armature, with screws at the joints.
I've done a couple of robots, one has balljoint legs but an mdf grabbing arm. Seen in my Tiedowns tutorial: https://www.youtube.com/watch?v=jK1tAh_kCZE Added to the leg armatures are some bits made with 3mm mdf and various plastic bits glued on from whatever. Some of the body frame, like the "ribs", is made from 6mm mdf , and the rounded belly bit is the cap from a plastic face cream jar. The rest of the jar is the rear "abdomen". When I did a steampunk make-over I put the plastic jar and cap together to make a boiler. https://www.youtube.com/watch?v=pf74ZeHMvm0
My other robot is the flying fembot, and the legs are 3mm thick aluminium strip with simple hinge joints at the knees, just a screw going through the plates. https://www.youtube.com/watch?v=b-lvWb0lFFs&list=PLB42768787AC5... So a bit more like the simple hinges of the AT-AT legs. But the hip joints are actually wire, so I could get more of a range of movement. I concealed the wire inside some corrugated plastic tubing, the kind with a split along one side so you can pit it over cabling to keep it neat. Ball joints would have been better, but this worked well enough. Rounded parts were added to the legs, a mixture of mdf and auto putty sanded smooth, and held on with a couple of wood screws going through holes in the aluminium plate.
Of course there are better robots out there, like the Terminator skeleton, with beautifully made metal armatures. Depends on your equipment and skill level, I had to do my best with simpler tools and abilities. But I did use a bench top bandsaw, a drill press, and a belt sander.