The Wave is a sandstone

Sandstone

Sandstone is a sedimentary rock composed mainly of sand-sized minerals or rock grains.Most sandstone is composed of quartz and/or feldspar because these are the most common minerals in the Earth's crust. Like sand, sandstone may be any colour, but the most common colours are tan, brown, yellow,...

 rock formation located in the United States of America near the Arizona

Arizona

Arizona ; is a state located in the southwestern region of the United States. It is also part of the western United States and the mountain west. The capital and largest city is Phoenix...

 and Utah

Utah

Utah is a state in the Western United States. It was the 45th state to join the Union, on January 4, 1896. Approximately 80% of Utah's 2,763,885 people live along the Wasatch Front, centering on Salt Lake City. This leaves vast expanses of the state nearly uninhabited, making the population the...

 border on the slopes of the Coyote Buttes

Coyote Buttes

Coyote Buttes is a section of the Paria Canyon-Vermilion Cliffs Wilderness managed by the Bureau of Land Management , spanning extreme South Central Utah and North Central Arizona, just south of US 89 halfway between Kanab, Utah and Page, Arizona....

, in the Paria Canyon-Vermilion Cliffs Wilderness

Paria Canyon-Vermilion Cliffs Wilderness

The Paria Canyon-Vermilion Cliffs Wilderness is a wilderness area located in northern Arizona and southern Utah, USA, within the arid Colorado Plateau region. The wilderness is composed of broad plateaus, tall escarpments, and deep canyons....

, on the Colorado Plateau

Colorado Plateau

The Colorado Plateau, also called the Colorado Plateau Province, is a physiographic region of the Intermontane Plateaus, roughly centered on the Four Corners region of the southwestern United States. The province covers an area of 337,000 km2 within western Colorado, northwestern New Mexico,...

. It is famous among hikers and photographers for its colorful, undulating forms, and the rugged, trackless hike required to reach it.
The Jurassic Navajo Sandstone Formation is the foundation of Coyote Buttes (and the Wave).