That looks like a mud dauber wasp nest, which is really cool!
These types of wasps collect prey for their offspring (commonly spiders and caterpillars), and will paralyze them and put them in a nest they have constructed with mud. They will then lay offspring in the nest on the paralyzed insects, which will be fresh prey for them to consume once they have eclosed (hatched).
These wasps are very good predators and seem to be collecting caterpillars that would otherwise be pests in your garden. These wasps are not aggressive, and you probably won't even see them busy at work. I would leave these alone and support these beneficial insects in your garden!