The protesters, led by the masked Zapatista rebel leader "Subcommandante" Marcos, claimed that the elections would not offer a solution to the millions of Mexicans who live in poverty.
"Our ideas of justice and liberty are bigger than the ballot boxes," the protesters chanted on Sunday as they marched through the streets to capital's historic Zocalo square.
The Zapatistas began an armed campaign in the impoverished southern state of Chiapas on January 1, 1994.
The insurgency left 150 people dead before a ceasefire was declared after 12 days of fighting.
The small but well publicised guerrilla army has now essentially become a political movement that groups together indigenous, peasant and radical campaigning organisations .
"We want to demonstrate that there is an alternative to the ballot box," said Maria Fernandez, a member of the Zapatistas.
Marcos led the protest clad in army fatigues and wearing a ski mask while smoking his trademark pipe.
On January 1, he launched an alternative "other campaign" that toured Mexico in an attempt to launch a radical alternative to the Democratic Revolution party, whose candidate, Manuel Lopez Obrador, could win the closely fought campaign.