Romney also said he plans to keep working with other senators to find interim solutions, such as legislation that would make sure essential government employees still working get paid now.
The 2012 GOP presidential nominee and new Utah senator acknowledged that it "takes two to tango" but backed Trump's position and chided Pelosi for hers. That's noteworthy from Romney, who despite being a Republican like Trump, has frequently criticized the president.
"You (Pelosi) and your fellow Democrats have voted for over 600 miles of border fence in the past, why won't you vote for another few miles now?" said Romney, speaking in the northern Utah city of Ogden after visiting with county commissioners about the shutdown's impact on the community. "I don't understand their position, I really don't."
He implored the two sides to "make a deal" and end the suffering of federal workers who aren't getting paid, suggesting Pelosi should offer a certain amount of money for the border wall and make a proposal to the president about border security. He said Trump is willing to allow participants in the Deferred Action for Childhood Arrivals program to stay in the country.
"On policy, it strikes me like there's not a big gap but the politics have drawn people into different corners," Romney said.
Romney said the country deserves border security, which includes more barriers on the U.S.-Mexico border. He said there is "humanitarian pain" being suffered by people entering the country illegally and being stopped at the border.
The backing for Trump in the shutdown dual illustrates Romney's stated goal of calling the president out when he disagrees while supporting him when he feels he's staking out the right position.
His most recent critique of the Trump came two days before he took office in an op-ed for The Washington Post in which he said Trump's conduct in his first two years in office had "not risen to the mantle of the office."
Romney said he backs an idea by Republican Sen. Ron Johnson of Wisconsin that would enssure essential government workers who are still working, but without pay, get paid. He said the goal is to get legislation before the president.
"It doesn't seem to make a lot of sense to me that we ask people to work, we insist that they work, we tell them that if they don't work they may lose their pension and may lose they their job, so they show up, but we aren't paying them," Romney said. "Somehow that just doesn't seem right."
Romney met Friday with Weber County Commissioners about the impact on the city of Ogden, home to about 5,000 federal employers who work for the Internal Revenue Service and U.S. Forest Service.
About 3,750 workers IRS workers in Ogden were on furlough, though about 1,000 were called back this week to prepare for tax-filing season.
The city of 87,000 residents is about 35 miles north of Salt Lake City.
After meeting with Romney, Weber County Commissioner James H. Harvey called it a "desperate time" for federal workers and their families.
"We want those messages heard so that there will be some action," Harvey said.