The graffiti, spray painted in red paint in Arabic, read "Slaughter the Jews" before it was covered over with more paint.
A Muslim girl was reportedly arrested on suspicion of carrying out the crime.
The "Little Western Wall" or Kotel Katan, is less well-known than the Western Wall Plaza and can only be reached via an alleyway in the Muslim Quarter, close to the Iron Gate of the Temple Mount.
The vandalism comes at the beginning of a period known as the "Three Weeks", leading up to Tisha B'Av, [The Ninth Of Av] when Jews worldwide commemorate the destruction of both Temples.