The families from Guerrero State arrived in Mexico City after touring the country.
The students, all trainee teachers, went missing after attending a protest in Iguala, Guerrero State.
Many remain unconvinced by the official explanation that the students were murdered by a drugs gang.
Forensic tests are being carried out on bodies found in mass graves in the state.
The mayor of Iguala Jose Luis Abarca has been arrested facing accusations that he ordered police to confront the students on the day of their disappearance on September 26.
In the past decade, more than 100,000 people have been killed and 27,000 have disappeared in Mexico in the last decade.
Thousands of people took part in three protest marches in the capital, which started at 17:00 local time.
Many thousands converged on Mexico City’s main square, or Zocalo.
Several hundred protesters gathered near the presidential palace, where police tried to push them back using water cannon.
The protest itself was peaceful with only small groups of protesters throwing bottles and fireworks at the presidential palace.
In violence near Mexico City’s international airport before the marches began, some 200 hooded protesters threw rocks and petrol bombs at police officers who had been trying to disperse them.
Demonstrators have also called for a nationwide strike. Protests also took place in other parts of Mexico and abroad.
The abduction has galvanized opposition to rampant political corruption and violence.
President Enrique Pena Nieto has accused some of the protesters of trying to “destabilize” the state.
Analysts say the issue is the biggest challenge Enrique Pena Nieto has faced in his two years of office.
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