The Mountains of the Wind was a range of mountains in the middle of the Middle-earth to the west of Hildórien according to the Ambarkanta.
The Mountains of the Wind were thus named because of the strong winds "coming from the East before the Sun". The Mountains of the Wind are no more mentioned in the later versions of the legendarium.
These may correspond to the "mountainous wall" which Nuin eventually crossed after finding a passage which took him to the Vale of Sleep.
In the Ambarkanta maps, the Mountains of the Wind are not shown on Map V, labelled "After the War of the Gods".