Central American immigrants traveling through Mexico in a caravan have protested in front of the US Embassy in Mexico City, after US President Donald Trump announced he was deploying the National Guard to bolster border security.

Mexico's capital was the final planned stop of the migrant caravan that left from the Mexico-Guatemala border late last month to draw attention to policies toward immigrants and refugees.

Caravan organiser Irineo Mujica said that what remains of the caravan would visit the basilica of Mexico's patron saint and seek meetings with representatives of the United Nations and Organization of American States.

"We are looking for some reaction, some change in the policies," he said.

Last Tuesday, as the caravan camped at a sports complex in southern Mexico, Mr Trump tweeted commentary.

Central American migrants traveling with the annual "Stations of the Cross" caravan pack up their belongings as they prepare to depart from the sports club where they have been camping out in Mexico. (AP) (AP)

Honduran migrant Genesis Martinez, 18, poses for a picture holding her two-month-old son Cesar. (AP) (AP)

"The big Caravan of People from Honduras, now coming across Mexico and heading to our "Weak Laws" Border, had better be stopped before it gets there," he wrote.

Later in the week Mr Trump announced that National Guard soldiers would be deployed to bolster the security presence along the US-Mexico border, a move also made during the presidencies of George W. Bush and Barack Obama.

Mexican immigration officials visited the migrant's camp in Matias Romero over several days processing documents for those who wanted to seek residency in Mexico, apply for special humanitarian visas or simply cross Mexico and request asylum at the US border.

As migrants received their documents they slowly began to peel off from caravan, continuing their journey alone or in smaller groups.

It was not immediately clear how many remained in the caravan that once numbered more than 1000 migrants. One of the group's security volunteers said about 150 had arrived in Mexico City with him Friday night. Organisers said more were expected to continue arriving.

Central American migrants wait in line to receive food. (AP) (AP)

The annual "Stations of the Cross" caravan was far larger this year than ever before. Organisers blamed a disputed presidential election in Honduras and continued high levels of gang violence in Honduras, El Salvador and Guatemala.

Cesar Ortiz, a 21-year-old from La Ceiba, Honduras, said yesterday that he planned to continue north with some migrants he met in the caravan, but only as far as Tijuana, where he hoped to find work.

Mexico had deported Mr Ortiz in March after he was caught in the northern city of Monterrey, but he quickly made his way back to Mexico because he said it was too dangerous for him to stay in Honduras.

Asked if he would eventually try to cross to the US, Mr Ortiz said, "since Donald Trump is really crazy, you have to wait".

Yesterday Mexico's Conference of Catholic Bishops, in a statement it called an historic first, responded to Mr Trump's plans to send National Guard troops to the border by calling on him and Mexican President Enrique Pena Nieto to work toward policies that protect the dignity of migrants.

The Zelaya siblings from El Salvador huddle together on a soccer field. (AP) (AP)

The statement, which was also signed by all of Mexico's border bishops, urged Mexicans to choose leaders who without corruption will contribute to the country's economic development so that migration is not necessary.