The protesters chanted "we want them alive!" as they rallied across the mega-city's main boulevard, with the parents leading the demonstration with pictures of their sons.
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"It has been two years of pain and suffering," said Felipe de la Cruz, a spokesman for the families.
"We will topple this rotten government with your support," he told the crowd.
The students vanished from the city of Iguala on September 26, 2014, after they hijacked buses for a protest in Mexico City and were attacked by local police.
Prosecutors say the officers delivered the 43 trainee teachers to the Guerreros Unidos drug cartel, which killed them, incinerated their bodies at a garbage dump and tossed the remains in a river. The remains of only one student were identified after a bone fragment was found in the river.
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But independent experts from the Inter-American Commission on Human Rights have rejected the government's conclusion, saying such a massive funeral pyre at the landfill was scientifically impossible.
The attorney general's office has since agreed to conduct new searches for the students elsewhere.
Speaking during a visit to Colombia, President Enrique Pena Nieto, whose government has faced criticism for its handling of the case, promised to "expand the investigations" to solve the crime.
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