The Great Wall of China is not particularly connected to the Seven Voyages of Zheng He. Constructed hundreds of years before Zheng He was born, and well before his expeditions to Southeast Asia, the Middle East and Africa, the wall can be considered "connected" to the famous Chinese explorer of the early 15th Century only through metaphorical terms.
Zheng He's expeditions, involving ships that were massive by the standards of the time and crew sizes to match, were believed to have been sanctioned by the Chinese emporer, Yongle, as a way of expanding Chinese influence abroad and opening communications with remote regions. The missions, which were carried out between 1405 and 1433, are considered among the most impressive and important in the history of human exploration.
With regard to the Great Wall of China, any connection with Zheng He can only be based upon the reason given for the termination of his official expeditions by the emporer in 1433, Zhu Gaozhi, who ordered Zheng He's fleet destroyed and end to such voyages. In terminating the very expensive expeditionary phase of Zheng He's career, Emporer Gaozhi, reassigning Zheng He to the defense of Nanjing from the threat of Mongol invasions, is alleged to have stated, "the security of the empire lay within the Great Wall, not the sea."
Ultimately, the aggressive Mongols were becoming a threat to the empire, so more had to be spent on defenses. Since China gave more money and resources than they got from the expeditions, it was too costly. In this sense this could be linked to ZHeng He