The deputies are supporters of Andres Manuel Lopez Obrador, the left-wing candidate presidential who alleges massive fraud in July elections.
The speaker ordered a recess after the deputies marched onto the podium just before Mr Fox was due to arrive.
It was the first time the annual speech, which often lasts for hours, has not been delivered orally. President Fox said he will give the speech on television tonight.
Later, Leftist politician Andres Manuel Lopez Obrador called off a protest march to the Congress in the face of tight security and the deployment of 6,000 riot police.
"We're not going to fall into a trap," he said. "We're not going to fall for a provocation ... this is a political issue, not police, not military," Lopez Obrador told thousands of his supporters in the downtown Zocalo square.
Mr Lopez Obrador has claimed that fraud cheated him out of the presidency in July 2 voting, when he lost by 0.58 percentage points to his conservative opponent, Felipe Calderon, of Fox's National Action Party (PAN).
Mr Lopez Obrador, a highly popular former Mexico City mayor, called for the balloting to be annulled, insisted he would not recognise Calderon as president and indicated he might form a parallel government.
He has lashed out at the Federal Electoral Tribunal, which had ordered a recount of nine percent of the ballots and addressed 357 complaints, but still found Mr Calderon had the most votes.
The tribunal has until Wednesday to formally announce a president-elect.