The huge crowd included people in wheelchairs and on crutches, as well as parents carrying children on their shoulders, all prepared to march 175 kilometres to the border, according to an AFP journalist at the scene.
Some flashed victory signs while others waved images of German Chancellor Angela Merkel, who recently announced that Berlin was easing asylum restrictions for Syrians.
"We are very happy that something is happening at last. The next stop is Austria. The children are very tired, Hungary is very bad, we have to go somehow," 23-year-old Osama from Syria told AFP.
Police watched the silent migrants walk through the Hungarian capital but did not intervene, the AFP correspondent said.
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The march was causing traffic jams on the main route into the city from the western Buda area.
It came as Hungarian lawmakers debated tough new anti-immigration measures, including criminalising illegal border crossing and vandalism to the new anti-immigrant razor-wire fence erected along the border with Serbia.
A record 3,300 migrants crossed into Hungary yesterday, according to the latest figures from the UN refugee agency.
The right-wing government headed by Prime Minister Viktor Orban has responded to the influx by erecting a controversial razor-wire barrier along its 175-kilometre border with Serbia.
Yesterday, Orban defended his handling of the crisis, blaming Germany's lifting of asylum rules for the thousands of migrants travelling through his nation.
"Nobody wants to stay in Hungary, neither in Slovakia, nor Poland, nor Estonia. All want to go to Germany. Our job is just to register them," he said while in Brussels for talks on the crisis with European Commission chief Jean-Claude Juncker and EU president Donald Tusk.