The crowd walked from Hammond, Ind., to East Chicago, many carrying signs, while other sang.
The measure would allow police who stop a person for an infraction to check that person's immigration status if the officer has reason to believe they're not here legally.
"We have given up many things chasing the American dream and I believe it is our time to make our own civil rights movement," said Yolanda Ruiz.
"At the basis of this is dignity of every human person given not by the state, not by the country but by God," Bishop Dale Melczek, Roman Catholic Diocese of Gary, Ind.
The bishop said immigration reform is needed at the federal not state level.
Supporters of the bill say the state needs to act because the federal government has not done enough.