Mexican Foreign Minister Luis Videgaray at the foreign ministry building in Mexico City.
Marchers demanded Mexican President Enrique Pena Nieto to give a stronger and more energetic response in the face of the new American administration.
Protestors expressed their fierce opposition to Trump, mainly his plans for a border wall and deportation of millions of immigrants, by hoisting anti-Trump signs in English and in Spanish.
U.S. president Donald Trump has vowed to lower the cost of the wall he plans to build along the country's border with Mexico by using a cheap design. Those comments have not gone unnoticed in Mexico.
It was followed by a suggestion to impose a 20% tax on goods imported from Mexico to pay for the expenses of the massive wall.
Trump also pitched for re-negotiating and the North American Free Trade Agreement, or NAFTA, which is in force between Canada, the United States and Mexico since 1994.
A university professor, who wore a shirt that read "Nasty Women Keep Fighting - a reference to Trump calling electoral rival Hillary Clinton a "nasty woman" - said Trump's policies need to be countered by a stronger Mexican government".
Trump suggested that his involvement in the design of the controversial wall would help to bring down the estimated $21 billion (£16.8 billion) it will take to construct the barrier.
Mexico City's police department said there were no injuries or incidents at the demonstration.
Many people within the crowd held up signs saying "Respect Mexico" and "we are all Mexico" at the rally, the LA Times reported.
"We need a real president who defends the rights of Mexicans, who stands up to Trump", one teacher said.
Last month, Trump signed an executive order directing the beginning of construction of a proposed wall along the borders of Mexico and the United States.