A variety of materials are used to make a Golf ball, and some are natural while others are synthetic. There is a lot of "technology" in the modern golf ball, and there are a variety of designs out there. Some have two layers, while others have three or four. The best idea is to use the links below to see a short video on how they are made, and this will probably answer most of your questions. Certainly trying to write out all of what you will see in the brief clips would be demanding, and since you can see it and hear it, we'll use that "shortcut" to an answer.
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It really depends on the shot put you get. Some are made of hard plastic with sand in them, while others are iron or metal. It just depends on where you get the shot put at.
Metal for the most part, but what type depends on the weight it needs to be, iron, cast iron, steel, stainless steel, brass etc are all things shot are made out of.