Peterson was 23 at the time of her disappearance and the only suspect in the case is her husband, Drew, 54, a retired Bolingbrook, Ill., police sergeant, The Chicago Tribune reports.
Her disappearance has led authorities to re-examine the death of Peterson' third wife, Kathleen Savio, who was found dead in a tub.
The marchers carried candles and a sign reading "Gone but not forgotten" as they made their way from Savio's house to the Peterson's Bolingbrook home.
Stacy Peterson's pastor and members of the Savio family gave speeches about the two women.
Drew Peterson was in New York Tuesday appearing on NBC's "Today" show, the Chicago Sun-Times reported.
He issued a statement that read: "There is not a single day that goes by that I don't think about Stacy, so to me Tuesday is just another day of her being away."