These humongous constructions are homes of the Aziarsi alien species - a postsingular civilization that digitized their consciousness ( ). The sphere about 1.5 AU in diameter and vastly outmasses any artificial structure known to exist - including the artifacts of the Ancients - and holds an unquantifiable amount of residents, and it's still in the process of construction.
Azinarsi have three of these and despite that it's all they have, they are de-facto the most powerful faction of the galaxy, sans the Ancients. Thankfully the lightspeed lag is too significant an issue to them, so they remain isolationist and uninterested about the world outside of the Spheres.
There's enough material in the average solar system to build large constructions such as this, particularly if the system has an asteroid belt / cloud like our does, however even ripping apart small rocky planets like mercury (or even larger planets if they are unneeded) should provide the materials needed.
A dyson sphere dosn't have to have to be incredibly thick if you're talking about a complete sphere, as well as the fact that planets have a lot more mass than you would expect, even a relatively small planet can be stretched over a very large area when you take it apart and use it for raw materials, but i'm also no expert in this.