The march began at the Olvera Street plaza and ended at the Mexican consulate on Sunday.
The family members are visiting more than a dozen U.S. cities to rally support from Mexican Americans and others.
The students have not been seen since Sept. 26, when they were stopped by Iguala police.
Mexican authorities investigating the disappearance said they were turned over to a drug gang, which killed them and incinerated their remains. But the families of the victims say they have not seen definitive proof of their deaths, and hold hopes that the students missing are still alive.