Led by an altar boy carrying an incense holder, the procession set out after dawn on Saturday toward La Lomita chapel in Mission.
The border town would be the target of new barrier construction under the Trump administration's current plan.
The march is the first major protest against the border wall to be staged in the Rio Grande Valley. The section of farms and border cities is at Texas' southernmost point.
The Trump administration has proposed building 97km of wall there. It's part of a $1.6bn proposal to begin the president's signature immigration priority.