A black hole is not, strictly, made of anything in the conventional sense. Black holes are so exotic that they defy commonsense ideas about matter. While an object such as Earth can be described in terms of its atoms and molecules, the unchecked gravity of a black hole shreds atoms until what remains is describable only as a quantum singularity.
A star can collapse under its own weight after its nuclear fuel has been exhausted. Once the energy is gone, a star about as massive as the sun remains as a slowly cooling white dwarf that still has normal matter in it. A more massive star can collapse further. Beyond a certain mass, the star's atoms sweat electrons to the surface, and the body collapses into what is basically a single atom around 10 miles across. This is a neutron star, and it is made out of protons and neutrons with a dusting of electrons on its surface.
When the mass of the star has exceeded even the neutrons' ability to hold up the star, however, the entire body collapses to its final state, that of a black hole. There is no force known that can resist the collapsing force of gravity at this level, so the star shrinks to a diameter of an infinitely small point, leaving a large gravity anomaly behind. A black hole is made, essentially, of nothing.