"It wasn't your fault, Mara," read a sign carried by one marcher, rejecting attempts to shift the blame on the victim, 19-year-old Mara Castilla, for having gone out alone at night.
Castilla's body was found Friday in the neighbouring state of Puebla, a week after she left a nightclub and got in a private vehicle.
Prosecutors say the driver kidnapped her and took her to a hotel, where he sexually assaulted her and strangled and beat her to death.
The demonstrators marched from Mexico City's Zocalo, or central plaza, to the attorney general's office where they staged performances denouncing the inaction of the authorities in the face of violence against women.
More From This Section
"We live with fear and that is a reality," said Pixie, a 27-year-old teacher who covered her face in a fuschia coloured ski mask to evoke the vulnerability many women experience.
Edgar Arriaga, a 22-year-old sociology student, criticised what he said was the "criminalisation of women."
"It seems unjust to me to say that because you go out at night, because you like to party, or something like that, that it's a justification for murder."