Like 'meaning' and 'thought', 'wonder' itself can be studied as a mental phenomenon. To appreciate wonder, first consider the absence of 'wonder'; the well known.
The medulla oblongata neurologically participates in autonomic functions; like breathing, heart rate and blood pressure. Autonomic functions are so 'well known' (i.e., the neural circuitry and activation response mechanism have been forged/hard-wired over eons by evolution) that unless one actively engages conscious effort they're 'automatic'.
More than likely, what we experience as conscious 'wonderment' will be localized to brain/mental processes in the neocortex, though recent research is revealing that "primitive brain structures" may also be involved in consciousness.
The research paper Neural Correlates of the Perception for Novel Objects details recent experiments using functional Magnetic Resonance Imaging (MRI):
Perception of novel objects is of enormous importance in our lives. People have to perceive or understand novel objects when seeing an original painting, admiring an unconventional construction, and using an inventive device. However, very little is known about neural mechanisms underlying the perception for novel objects. Perception of novel objects relies on the integration of unusual features of novel objects in order to identify what such objects are. In the present study, functional Magnetic Resonance Imaging (MRI) was employed to investigate neural correlates of perception of novel objects. The neuroimaging data on participants engaged in novel object viewing versus ordinary object viewing revealed that perception of novel objects involves significant activation in the left precuneus (Brodmann area 7) and the right visual cortex. The results suggest that the left precuneus is associated with the integration of unusual features of novel objects, while the right visual cortex is sensitive to the detection of such features. Our findings highlight the left precuneus as a crucial component of the neural circuitry underlying perception of novel objects...Autonomic and wonderment phenomena are responses to neurological stimuli. As complex as the brain is, it has limitations in its ability to handle stimuli. Though limited, the brain engages the evolutionary evolved dynamic of neuroplasticity of the synaptic connectome as an adaptive mechanism to process novel stimuli ('I've never seen such a beautiful sunset...isn't it wonderful?') that can't be handled by autonomic functions. Counter-intuitively, sometimes neuroplasticity invokes a 'less synaptic connections is more' dynamic. Sudden insight is another adaptive mechanism.
Novelty (the not well known/unfamiliar/new stimuli) is a necessary component of the 'wonder' dynamic and with neuroplasticity contribute to the neurological dynamic of wisdom which may have cultural components. All part-and-parcel of our 'Wonderful Life'; full of wonder indeed.