"We're hungry, we can't keep waiting, we're moving on," Honduran migrant Roni Suazo told Reuters news agency. "Our mission is to go to the United States, not Mexico."
Thousands of migrants had spent the week in a sports complex in Mexico City, where they received medical attention along with food and water.
Dangerous routeThe migrants plan to take the metro to the outskirts of the Mexican capital and continue on to Queretaro, then Guadalajara, Culiacan and Hermosillo before reaching Tijuana on the US-Mexico border, said Nashieli Ramirez, who heads Mexico's Human Rights Commission.
Although Mexico City lies only 600 miles (965 kilometers) to the closest US border entry point, caravan organizers said it was far too dangerous due to violent gangs operating in that area. Instead, they have opted for a 1,740-mile (2,800-kilometer) route to Tijuana, one that they consider less dangerous.
However, the route will still take the caravan through territories known for excessive drug violence, including Sinaloa state, where Joaquin "El Chapo" Guzman once ran one of the deadliest cartels in modern history.
Read more: US sending thousands of troops to Mexico border
'Proclamation on asylum'Their departure comes a day after US President Donald Trump signed an executive order that suspends the means for migrants who entered illegally into the country from seeking asylum.
"I just signed the proclamation on asylum — very important," Trump said before heading to Paris for World War I services. "People can come in but they have to come in through the points of entry."
Read more: Caravan of migrants tests Trump's anti-immigrant policies
'New asylum ban is illegal'Shortly after Trump announced the executive order, civil rights groups sued in a San Francisco court, seeking an injunction. The groups argued that the order violates the US Immigration and Nationality Act, which allows anyone in the country to apply for asylum and is not contingent on how they entered.
"President Trump's new asylum ban is illegal," said Omar Jadwat at the American Civil Liberties Union (ACLU). "Neither the president nor his cabinet secretaries can override the clear commands of US law, but that's exactly what they're trying to do."
The migrant caravan is largely comprised of Honduran refugees fleeing widespread gang violence in their homeland. Others are from Guatemala, El Salvador and Nicaragua.
Read more: How two US towns have countered Donald Trump's refugee policy
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ls/jm (AP, Reuters)