Despite nationwide distribution of video pictures of two suspects who ambushed Joe Van Holsbeeck and a friend on April 12, police have yet to announce a breakthrough in the case.
The 17-year-old was stabbed to death at the busy Brussels Central train station, a killing that shocked the nation.
"The demonstration is an important signal which I fully back," said Belgian Prime Minister Guy Verhofstadt. "We will put more effort into combating youth crime ... in the future," he said.
The parents of Van Holsbeeck had asked for a non-political, silent march, and requested that political parties remain in the background.
The march went by Brussels Central station, where protesters laid hundreds of flowers at the scene of the crime.
His father, Guy, felt heartened by the show of support. "There is a lot of emotion and it somewhat soothes our pain," he told VRT network.
Large groups of boy scouts led the march and many families took part in the demonstration, which was organised at short notice.
Police estimates said the number of protesters was around 80,000. It was thought to be the biggest protest march in a decade.
In 1996 over 300,000 in this nation of 10.5 million took part in a demonstration in protest against police handling of a paedophile kidnapping and murder case.