Similar demonstrations were planned in states hit hardest by drug violence, including Sinaloa, home to the powerful cartel of the same name, and Chihuahua, where Ciudad Juarez, Mexico's most violent city, is located.
Al Jazeera's Franc Contreras, reporting from the protest, said that the demonstrators were demanding the Mexican government take action.
"Many here believe the government is not doing enough to protect their colleagues, as more than 60 journalists have been killed in the last four years," he said.
"While a special prosecutor has been put in place, only three of the crimes committed against reporters have been solved in recent years."
'Pattern of silence'
Participants also hoped to open talks with Mexican authorities on security protocols for journalists, some of whom have stopped reporting on drug violence in fear of their lives.
|More than 1,000 journalists marched in Mexico City to demand great protection [AFP]
"We should think about how we can guarantee the delivery of information to the public," Baltazar said.
"We're very concerned about the pattern of silence."
The killings have increased this year, although organisations report different numbers.
According to the National Human Rights commission, seven journalists have been killed so far this year, while Reporters Without Borders puts the number at 10.
Local journalists in Mexico have long been under siege from drug traffickers. But the recent kidnapping of four journalists, three of them with national television networks, signaled a new level of attacks on reporters.
Two were let go by their captors and police rescued the other two.