The largely young crowd carried Mexican flags with black mourning bands replacing the red and green stripes, counting off the numbers from one to 43. Protesters also chanted: "They took them away alive, and alive we want them back."
In Chilpancingo, the capital of Guerrero state, groups of protesters angry about the government's inability to find the missing students used hijacked trucks to block all three highways leading into the city for several hours.
The missing youths were enrolled at a rural teachers college in Guerrero who were taken away by police after a confrontation in the city of Iguala on Sept. 26.
Prosecutors say the students were later handed over to a drug gang, some of whose members have claimed to have killed the youths. But despite a widespread search, authorities have been unable to find any sign of the students.
Many of the parents of the missing youths joined the Mexico City protest march Wednesday, carrying hand-painted portraits of the young men.
"The disappearance of the students has detonated all the accumulated pain of the thousands of disappeared people in this country," said Camila Bernal, a 19-year-old Chilean who is a communications student at Mexico's National Autonomous University.
The Mexican government estimates 22,322 people have disappeared since the start of the country's drug war in late 2006.
The 43 students have received far more attention than other disappeared, in part because allegedly corrupt police in Iguala so clearly played a role in their disappearance. Officers there are alleged to have worked for the Guerreros Unidos drug gang, which authorities charge had ties to the former mayor of Iguala, Jose Luis Abarca, and his wife, Maria de los Angeles Pineda.
The couple went on the lam shortly after the students disappeared. They were arrested by police in a raid Tuesday, hiding out in a gritty Mexico City slum.
Attorney General Jesus Murillo Karam said federal agents were tipped off to the couple's presence by trailing a female associate, Noemi Berumen, who apparently accompanied the couple or aided them in their flight from justice. Berumen was also detained in the raids.
"The house they were found in looked as if it were abandoned," Murillo Karam said. "The reason we started to suspect this person (Berumen) ... was that she appeared to be entering an abandoned house."
Authorities have uncovered clandestine mass graves and the remains of 38 people during the search for the students, but none has been identified as one of the missing youths. Besides Tuesday's arrests, at least 56 other people have been taken into custody, and the Iguala police chief is also being sought.
Before they fled last month, the mayor and his wife ran Iguala like a fiefdom in cooperation with the Guerreros Unidos, officials say. Abarca allegedly received up to $220,000 every few weeks as bribe money and to pay off his corrupt police force.
The missing students attended a radical rural teachers college with a history of rowdy protests. They had gained the enmity of Abarca because of a previous demonstration in Iguala, Murillo Karam said. Abarca believed they planned to disrupt a speech by his wife, who aspired to succeed him as mayor, and he ordered police to detain the students after they hijacked four buses to provide transportation to a coming protest.
Three students were shot dead in the confrontation and later three bystanders were killed in a separate attack.
Police picked up the other 43 students and took them to the nearby town of Cocula, Murillo Karam said. At some point they were loaded aboard a dump truck and taken, apparently still alive, to an area on the outskirts of Iguala where some mass graves have been found, he said.
Detained gang leader Sidronio Casarrubias told authorities one of his lieutenants told him the students were sympathizers of a rival gang, the attorney general said.
In statements to the media soon after the disappearance, Abarca maintained he spent the evening of Sept. 26 dining out and said he ordered police to leave the students alone.
By Alberto Arce