Animal in my wall

Probably a squirrel or rat. Locate the entrance if it’s a squirrel and block it off. If it’s a rat then try to trap it.
If you are not successful then poison is the next step. Hopefully it goes outside to get water and dies out there. If it dies in the wall you will probably have to pinpoint it and open up the wall to remove it.

You need to define "walls" OP. The gap between studs is only 3.5" usually and 12-24" wide, its not really wide enough for anything but a squirrel or rat to want to go into. You likely have a squirrel or rat nest.

If its in an attic, crawl space, gap, etc that's a different story.

Ace hardware sells live traps (have a heart) and those work great. Bait them with a variety of things from cheese to bird seed to deer corn. Place it on the inside or outside of your house where you hear the noise. Rats maybe inside, everything else outside.

Billy the Exterminator helped me.

Squirrel in the attic. Critter trap on my roof and a baby food lid filled with chunky Jif Peanut Butter.

Caught the little shite in 2 hours. My exterminator I had coming to check for nests or more said “no way you caught him that fast. Send a picture.” He came over checked my attic and bought the bigger of the two traps from me. lol.