Attorney general's office in capital attacked amid anger over failure to find 43 students who went missing last month.
Protests over 43 missing students turned violent when angry students started pelting stones and smashing windows of the attorney general's office in Mexico City.
Authorities say that on September 26, police in Iguala shot at buses carrying the students and handed them over to the officers in the neighbouring town of Cocula, who then delivered them to the Guerreros Unidos drug gang.
Six people died, 25 were wounded and 43 students went missing that night.
Earlier on Wednesday, thousands of demonstrators closed part of Reforma Avenue, one of the capital's main streets, as they marched towards the attorney general's office.
Al Jazeera's Adam Raney, reporting from Mexico City, said: "Protesters are carrying signs and pictures of the students, reading their names out in a public display to show that these are individuals.
"They are trying to bring attention to their humanity as a way to keep up the pressure on the president as well as the attorney general so that they will get to the bottom of this."
President Enrique Pena Nieto has spoken publicly on the isse after being under intense pressure at home and abroad to solve the case in the southern state of Guerrero which is riven with violence.
But the protesters says they have very little faith in the government.
"People dont have faith in him [Pena Nieto], and they don't have faith in these institutions, they say they live in what is basically a narco state where criminal organisations and the political officials are one and the same," Raney said.
Police mounted on horses, along with rescue dogs, were deployed on Wednesday to comb the remote rural area of Iguala, 200km south of Mexico City.
Close to 300 federal police officers and civilian self-defence groups have already been searching for the students for days.
Attorney General Jesus Murillo Karam confirmed on Tuesday that among the 28 bodies found in the first set of mass graves, none of them were those of the missing students.
Meanwhile 14 more Cocula police officers have been arrested in the case.
As the search for the students continues, the authorities are discovering previously unknown victims as they dig up mass graves in Iguala.
At least 80 corpses have been discovered around the city of 140,000 people this year alone.
