The 73-year-old British rock star made reference during his show to a group of 43 Mexican trainee teachers who went missing two years ago in the state of Guerrero, a case in which the official explanation offered by Pena Nieto's administration has been called into question.
Waters also ridiculed Republican presidential nominee Donald Trump while calling on Pena Nieto to resign.
The former Pink Floyd member and his band played a selection of songs from the group's classic 1970s albums: The Dark Side of the Moon, Wish You Were Here, Animals and The Wall.
Waters had his entire audience as a chorus on the songs Money, Time, Shine on You Crazy Diamond, Dogs, Pigs, Mother, Another Brick in the Wall and Comfortably Numb.
During Pigs, a song about corrupt oligarchs, an image of Trump appeared on the screen along with the word "charade."
Trump is highly unpopular in Mexico because of his derogatory remarks about undocumented migrants and his vow to build a wall on the US-Mexico border.
An inflatable pig then soared above the crowd with messages alluding to Mexico's missing 43.
"43 are missing," "It was the state," "They took them alive. We want them alive" were some of the messages visible on the pig's body.
Pena Nieto's government says the students from a teachers training institution, known for its leftist activism, came under attack by corrupt police in the southern city of Iguala on September 26, 2014, while commandeering buses they planned to use to travel to a protest in Mexico City.
They were subsequently handed over to a drug gang that murdered them and burnt their bodies at a nearby garbage dump, according to the official version.
But a panel of experts commissioned by the Inter-American Commission on Human Rights found no evidence to support the government's findings and said federal forces were aware of the attacks on the students yet did not intervene.
During the song Mother, the phrase "Resign now" appeared on the big screen in reference to Pena Nieto.
Then in a message to the audience shortly before the end of the concert, Waters said the Mexican president's policies had failed and that it was time to tear down the wall of privileges that divides rich from poor in Mexico.
