The march is set to begin at 1 p.m. at the Olvera Street plaza and end at the Mexican consulate. The students vanished on Sept. 26 after being stopped by Iguala police in the southwestern state of Guerrero.
The students had gone from the Raul Isidro Burgos Rural Teachers' College of Ayotzinapa to the city to solicit donations.
The students were being trained as teachers who would hike deep into the remote hills to educate some of Mexico's poorest children in areas often controlled by drug gangs.
Mexican authorities believe they were turned over to a drug gang and killed. Family and friends of the students have not seen definitive proof of their deaths and remain hopeful that the students are alive.
The students and their families come mostly from the remote mountains of the southern state of Guerrero, where they live in poverty under the thumb of corrupt governments, drug traffickers or armed vigilante groups that have sprung up in reaction to the region's lawlessness.
The Associated Press contributed to this report.