The marches come a week after President Felipe Calderon announced new measures to deal with the violence.
Dressed in white, tens of thousands of Mexicans walked in silence along the capital's main boulevard, holding candles and lanterns, to show that they had had enough.
Many carried national flags - a sign that they want a unified country in the fight against crime.
Others carried banners bearing slogans such as "No more impunity" and "No more revoking sentences". Others carried pictures of their children who had been kidnapped.
Romana Quintera, 72, wore a photograph of her baby grandson who was kidnapped for ransom five years ago when gunmen burst into her home and killed her niece. Two people have been imprisoned for the attack, but they have refused to reveal the boy's fate, and Quintera said investigators have given up on the case.
"We're desperate. We've been fighting for five years. We want an answer," she said, holding back tears. "We ask authorities with all our heart to be more sensitive. Maybe nothing like this has happened to them, or they would be more sensitive."
Despite the arrest of several drug kingpins, little has improved the ground since the Calderon government began its crackdown.
Once everyone arrived at Zocalo square and the sun set, they sang the national anthem, and put out their candles together.
There were similar co-ordinated scenes in dozens of towns and cities across Mexico as thousands of others staged "Iluminemos Mexico", or "Let's Illuminate Mexico", silent marches.
The organisers hoped to emulate a similar march in 2004, when almost half a million people protested against violence, forcing the government to target police corruption and introduce reforms.
Homicides have surged as drug cartels battle each other for control of trafficking routes and stage vicious attacks against police nearly each day.
This week, a dozen headless bodies were found in the Yucatan Peninsula, home to Mexico's most popular beach resort, Cancun.
Saturday's protests were inspired by the abduction and murder of the 14-year-old son of a wealthy businessman. The case provoked an outcry when prosecutors said a police detective was a key participant in the abduction for ransom.
The boy's father, Alejandro Marti, called on top government officials to quit if they could not stem the crime wave. His challenge became a rally cry at the march, where many held up signs with his words: "If you can't, resign."
The first to arrive for the protest was the family of 24-year-old Monica Alejandrina Ramirez, who was kidnapped on in 2004 and has not been heard from since.
The BBC's Duncan Kennedy in Mexico City says the marches are a visible sign of how anxious people continue to be about the violence, and their frustration at the government's inability to reduce it.
"The message is: Get to work or we'll hold you accountable," said Eduardo Gallo, whose 25-year-old daughter was kidnapped and murdered in 2000. "We are angry."
Last week the country's political and security leaders drew up an emergency, 74-point plan to try to combat the wave of violence.
Measures include sacking corrupt police officers, equipping security forces with more powerful weapons, new prisons for kidnappers and strategies to combat money-laundering and drug-trafficking.
President Calderon has already deployed more than 25,000 troops across the country to combat the powerful drug cartels.
Washington is also pumping in hundreds of millions of dollars to help.
But the cartels and kidnappers are well-organised and often have the acquiescence of corrupt police officers.
The organisers of the march know restoring a sense of calm and order will need wholesale changes in Mexican society, something one march on one day cannot achieve, Duncan Kennedy adds.