Native bees are mostly solitary bees. Many of them nest in the ground. For those native bees, you need to be sure to leave some bare ground in your garden. They can't burrow though a thick layer of mulch or a thin sheet of black plastic. Leave the ground bare.
Some native bees will nest in a prepared nest box. These nest boxes are easy to make. The link below will send you to a site which gives good directions for building one of these.
You can also build a nest box for bumblebees. Bumblebees are native bees that live together in a nest. The link below gives directions for constructing a nest box for them.
Volunteers at the Fredericksburg Nature Center built the native bee nest box below. You can see it at the Fredericksburg Nature Center.