We don't know but it seems to be a magical artifact of some kind.
When Diana decides to leave the island she scales the tower and takes the Lasso, Shield, and "GodKiller" Sword...all secured in the tower.
YouTube video..the scene is at c.1m10s
Since both the Lasso and Sword are magical it can be inferred that the Shield is a similar object or that it's infused with Diana's power.
As we find out...
Diana is not merely a gifted Amazon, she’s a full-fledged demigod. And rather than “channeling” the gifts of Zeus through her bracelets, etc., Diana is the source of her own power.
So perhaps the same applies to her shield.
It should, however, be noted that this shield is different in appearance from the one in Batman vs Superman but then 100 years pass between the two movies