Shulchan Arukh, Orach Chayim 625/שולחן ערוך·אורח חיים תרכ״ה

1On Succot we shall dwell for 7 days etc. Because on Succot I protected the children of Israel. These refer to the clouds of glory who protected them from all the intense heat and the sun of the desert. And it is a Mitzvah to begin building the Succah immediately after Yom Kippur. For if a Mitzvah that comes to one's hands, one should not delay performing it.[Maharil]