Thousands of protesters from across Mexico were expected to attend the rally Sunday afternoon, including families and illegal immigrants who are often the targets of kidnappings and killings by criminal gangs.
Mexican poet and journalist Javier Sicilia called the protest after his son and six others were found killed and tortured near the resort city of Cuernavaca, some 55 miles (90 kilometers) from the capital, in March.
Sicilia set off with several hundred people from Cuernavaca on Thursday, and many Mexican cities also planned to hold similar protests for "peace, security and justice" on Sunday.
Participants showed frustration with growing violence between warring drug gangs and security forces that left almost 35,000 dead between December 2006 and December 2010 alone, according to official figures.
They also called for the government of President Felipe Calderon to withdraw some 50,000 troops deployed across the country under a crackdown on the cartels since 2006.
"We want to give the faces, names, dates and stories of each of the 40,000 victims that this mortifying strategy has left behind," Sicilia told AFP at the start of Sunday's march.