Dumbbells can be made from a large number of materials. Usually, they consist of cast iron, coated with rubber, neoprene or paint, according to Adamant Barbell. However, they can also be made with many other materials, including concrete.
Adamant Barbell explains that hex dumbbells are made out of cast iron, and rubber hex dumbbells are the same, but coated with rubber. Pro style dumbbells are made of solid steel and rubber pro style dumbbells are, again, just coated with rubber.
Dumbbells can be made, at home, by filling milk bottles with concrete, sand, rocks or water. However, this homemade equipment should be used carefully to avoid injuries.