What's the nearest Great Wall entrance from Dongzhimen station?

The nearest one is the Juyong Pass Great Wall. You may take metro line 13 from Dongzhimen Station, and get off at Longze Station. Next, change to bus line 878, and get off at Minghuang Laxianggong Dongmen Station. Then, transfer to bus line 879, and get off at Juyong Pass Station.

But you are advised to go to Badaling Great Wall which is the most famous among all sections and has easier transport. You may take metro line 2 from Dongzhimen Station, and get off at Jishuitan Station. Then, walk to Deshengmen to take bus line 919 to Badaling Great Wall. The bus generally depart once fully occupied. so no worry.
Or, you may take metro line 2 from Dongzhimen Station, and get off at Xizhimen Station. Then, take a train to Badaling from the nearby North Railway Station. You can search the detailed train schedule on this website :)

Thank you so much! super helpful insight :)