STORY: Relatives of femicide victims, gender violence survivors held up crucifixes and banners showing photographs of disappeared or killed women outside the National Palace in the historic city centre.
Among the protesters was Beatriz Cossio, whose daughter disappeared.
"The violence against women, teenagers and girls in the streets, in the schools and at home is what made us take to the streets and demand justice," Cossio said.
Mexico has reported 155 femicides - the murder of women because of their gender - in the first two months of this year, according to federal crime statistics. Nearly 25,000 more women are missing nationally.
The disappearances and femicides are part of a broader crisis of violence in Mexico, where annual homicides top 30,000. Since 2006, when the Mexican government declared a war on drug cartels sparking a surge in violence, more than 85,000 people have also disappeared.
Around 10 women are killed each day in Mexico, according to official data, where gender violence regularly sparks protests.