The demonstrators expressed their anger over the handling of the case by President Enrique Pena Nieto.
The president's popularity rating has dropped to its lowest point since he took office two years ago.
The students disappeared after clashing with police in the town of Iguala on 26 September.
The case has shocked Mexicans as allegations of police collusion with drug gangs surfaced during the investigation into their disappearance.
In October, Mexico's attorney general ordered the arrest of Iguala Mayor Jose Luis Abarca.
Many of the protesters carried placards calling for the president to step down, says the BBC's Will Grant in Mexico City.
In Guerrero state, where the students disappeared, they set cars on fire and smashed windows, our correspondent adds.
On Monday, President Pena Nieto submitted a package of ten reforms aimed at tackling the crisis to Congress for debate.
Some of the more controversial proposals include replacing all 1,800 municipal police forces with state-level units.
The president also wants extra powers to shut down local governments considered to have been "infiltrated" by drug cartels.
Mr Pena Nieto has announced he will travel to Iguala later this week. He has not visited the town since the students went missing.
The students had travelled from a teacher training college in Ayotzinapa to the town of Iguala in Guerrero state to protest against what they say are discriminatory hiring practices for teachers which favour urban students over rural ones.
Police opened fire on the students, who were in buses travelling back from Iguala to their college. Three of them were killed and three more people in nearby vehicles also died.
A busload of the students attempted to flee but were chased by municipal officers who then took them to the local police station.
Some of the officers, who have since been arrested, told investigators they then handed the students over to a local drug gang called Guerreros Unidos (United Warriors).
The leader of the gang, who has also been detained, said that he had been told by one of his men that the 43 were members of a rival gang.
He then reportedly ordered that they be "made to disappear".
Members of the gang have told investigators they killed the students and burned their bodies at a rubbish dump.
Remains found at the site have been sent for testing to a laboratory in Austria.
26 Sept: Students from a teacher training college in Ayotzinapa travel to Iguala to protest and raise funds
Night of 26 Sept: Police stop the students, 6 people are shot dead, 43 students disappear
30 Sept: Iguala mayor Jose Luis Abarca asks for leave from his post, which is granted
4 Oct: Mass graves are found near Iguala containing 28 bodies
19 Oct: Federal police are deployed to Iguala and replace the municipal force
22 Oct: Mexico's prosecutor general says an arrest warrant has been issued for Mr Abarca, his wife and the town's police chief
23 Oct: Guerrero state governor Angel Aguirre resigns
29 Oct: President Enrique Pena Nieto meets the relatives of the missing students and promises a "renewed search plan"
4 Nov: Mr Abarca and his wife are arrested in Mexico City
7 Nov: Three gang members confess to killing students and burning their bodies, according to Mexico's attorney general
11 Nov: International forensic teams says test carried out so far suggest bodies found in mass graves are not those of missing students
12 Nov: Remains found at rubbish dump sent to laboratory in Austria for analysis
27 Nov: President Pena Nieto announces plans for police reform
Protesters in Mexico clashed with police following a largely peaceful rally in support of 43 students who went missing in September.