I have made several stone walls for my set, including a dry stone wall.
If you want to make a mortared stone wall, build the set from MDF oir plywood, then apply papier mache pulp to the surface. Then you can sculpt the stone shapes into the pulp, which will dry rock hard in about 24 hours. I like to let the pulp dry a little, for an hour or so, before using a tool to create the stones, as a bit of a skin can form, and this allows the edges of the stones to curve inwards realistically.
You can get a recipe off youtube from 'ultimate paper mache', and it involves toilet roll, drywall joint cement, PVA, a little linseed oil and some flour. You can colour it with acrylics.
For a dry stone wall, I cast some thin layers of plaster on a plastic box lid, then broke them into pieces. I then used a building glue (Stixall in the UK - it's polyurethane) to stick the pieces onto plywood. It is heavy, but looks great.
For a very low-budget, but still fairly effective look you could use foam pizza bases, which can be indented with a stick or modelling tool.
Styrofoam also works well for rock effects, and I have used it for stonework. You can cut into it and use coarse sandpaper to get great surface effects.
I've often used expanded polystyrene to create rock structures of all types. You can build large rock structures quite quickly by breaking up chunks of polystyrene (which you can often find discarded by shops - honestly, in forty two years I have never paid for it) and hot gluing it together. Then I've poured or pasted grey/brown tinted filling plaster over the surface before giving it any detailed paintwork.
(The reason for tinting the plaster is so that if it gets chipped - and it gets chipped surprisingly often on a working set - the damage is immediately less visible and easier to repair)