Great question — answering as the UphillTech team:
Good chance it is drywall. To check just need a pin/nail/screw, and push. If it goes in it is drywall. Find where the studs, use a stud finder, are in the wall(every ~16 inches) and use nails/screws to hold the panels(smaller holes). Do not know if a big box store will cut to size, a real lumber store maybe, but thin plywood not hard to cut yourself with hand or power saws.
Full answer by crip659: https://diy.stackexchange.com/a/286262 (CC BY-SA 4.0).
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