About 200 protesters are demanding the release of jailed vigilante leaders by marching down Mexico City’s main boulevard.
The protesters are from the southern state of Guerrero where “community police” have operated legally for almost two decades.
But over the last two years, more radical vigilante-style groups have sprung up in response to persistent drug gang violence.
The vigilantes often confront soldiers trying to enforce a ban on carrying guns.
About a dozen vigilante leaders have been arrested, many on charges of kidnapping for illegal detentions.
Monday’s march was held partly to demand their release.
Protest organizer Antonio Colin Ramirez says the arrests were part of a government effort to harass the movement.