The group lobbied the US Congress after pulling up in a caravan saying they had been inspired by the "freedom rides" staged by the civil rights movement in the 1960s.
The caravan, sponsored by the AFL-CIO labor federation, included immigrants from Seattle, Washington; Portland, Oregon; San Francisco; Los Angeles; Miami; Chicago; Boston, Massachusetts; Houston, Texas, and Minneapolis, Minnesota.
The labour federation said the protest aimed to highlight the difficulties of working immigrants, to seek a process for obtaining US citizenship for illegal immigrants and to allow family reunification.
Protesters are to continue on Friday to New York, where they will stage a rally on Saturday.
About nine million illegal immigrants are estimated to be in the United States, some four million from Mexico.
The number of migrants who died crossing the US-Mexico border rose to the highest level in three years during 2003, according to the latest statistics released on Wednesday by US officials.
Immigrants cheer and bang
drums for the Freedom Ride
At least 346 migrants from Mexico and Latin America died trying to cross the border during the government's 2003 fiscal year, which ended on Tuesday, the US Bureau of Customs and Border Protection said.
The figure exceeded last year's death toll by 26 and 2001 figures by 10. This year's total was the highest recorded since 2000, when 383 perished, bureau spokeswoman Gloria Chavez told Reuters.
Border officials in the United States and Mexico joined efforts to curb the deaths this year, airing community service announcements, setting up emergency beacons and sending out rescue patrols.
The United States recently piloted a programme to repatriate Mexican migrants arrested in the deadliest part of the Arizona desert to six cities nearly 1000 miles (1,600 km) away.
The main cause of death, with at least 139 cases, was dehydration or exposure in the Sonoran Desert in southern Arizona. It has become the main migration route since a border crackdown known as Operation Gatekeeper began eight years ago.
Others drowned in the Rio Grande River (called Rio Bravo in Mexico) that divides Texas and Mexico, or perished in car crashes in unsuccessful attempts at "border running," or trying to outrun border patrol agents on rural highways and freeways.
The death statistics do not include dozens who suffocate in boxcars or die in high-speed car chases in counties that are not located along the border - like 19 who died in May in an airless tractor-trailer near Victoria, Texas.