The march, led by the parents of the missing students, began at the official residence of Los Pinos and is heading to the Zócalo.
The autopsy of Julio César Mondragón showed several skull fractures, internal bleeding and other injuries consistent with torture. His face was flayed.
"We're on the same side. You and I are looking for the same thing." President Enrique Peña Nieto told the families of the missing students.
The protesters are advancing over Reforma Avenue