A feather is one of the many components that make up a wing — the relationship is “smallest unit to larger structure it helps form.”
Option (A) — down : goose — is incorrect because down is a type of feather and goose is the bird it grows on, not the larger structure it forms.
Option (B) — cotton : mattress — is a raw material to product relationship, not a “component-to-larger structure” of the same category.
Option (C) — subheading : heading — is more of a hierarchical categorization, not a physical component.
Option (D) — brick : wall — is the correct parallel: just as multiple feathers form a wing, multiple bricks form a wall.