About 80,000 people took to the streets to highlight the country’s rising levels of violence against women.
The rally began peacefully, but police say some groups threw petrol bombs and officers responded with tear gas. More than 60 people were injured.
Tensions are high ahead of a strike in Mexico on Monday when women will strike in protest at gender-based violence.
An estimated 10 women are killed each day in the country and police are investigating more than 700 cases of “femicide”, the killing of women.
Last month, hundreds of women protested against the murder of 25-year-old Ingrid Escamilla, who was allegedly stabbed and mutilated by her partner.
Participants shouted “Alive they took them, Alive we want them” and wrote Ingrid Escamilla’s name on the walls of buildings.
But some groups of people wearing masks threw petrol bombs and set fire to parts of the route, including a door to Mexico’s National Place and the president’s residence, city officials said.
Seven people were arrested for attacking a group of protestors. Most of those hurt suffered minor injuries, they said.
Thirteen people were taken to hospital.