"If we have to close down our government, we're building that wall," Trump said at a rally in Arizona.
That sent the safe-haven yen higher, with the dollar fetching as little as 109.31 yen, compared with as high as 109.82 yen prior to Trump's remarks. The dollar/yen was at 109.33 at 4:15 p.m. HK/SIN.
Spot gold also bumped higher, rising as high as $1,2887.30 an ounce after the remarks from as low as $1,282.94 earlier. It was at $1,286.71 at 4:16 p.m. HK/SIN.
The dollar index, which measures the greenback against a basket of currencies, lost ground, falling as low as 93.357 from as high as 93.619 earlier. It was at 93.427 at 4:16 p.m. HK/SIN.
The moves were relatively modest, with one analyst pointing toward some market hesitancy to accept Trump's statements at face value.
"It's clearly concerning if he wants to tie the wall to the government shutdown. That's certainly an issue and that's an issue for the dollar," Chris Watling, CEO of Longview Economics, told CNBC's "Capital Connection" on Wednesday.
But he added, "We've heard a lot of comments out of Trump that sort of go away very quickly, about as quickly as they come. We'll have to see how other people in the administration react. I suspect he's just playing to the crowd."
Watling noted that Trump's support base has been waning.
"I think he's becoming slightly wilder in his commentary as a result," he said.
The market has had some concerns about whether Congress will meet tight budget deadlines.
If Congress does not reach a funding deal that the president signs into law by a September 30 deadline, the government will shut down.
Congressional Democrats have explicitly said they will not support a deal that includes money for the wall. Estimates have put the cost of a wall along the 2,000-mile border at anywhere from $10 billion to nearly $40 billion.
The majority Republicans will need the minority party's votes to keep the government open.