Outside of the U.S Embassy, a crowd estimated to number about 10,000, chanted, "We are refugees," the Jerusalem Post reported.
The migrants planned to deliver letters to the embassies to gain international support for their cause, Israel's Channel 2 reported.
"We don't want to live here for the rest of our lives. We want basic rights until we can return," an Eritrean identified as Dawit, a protest leader, told Channel 2 Monday.
The marchers were expected to stop at the embassies of the United States, Canada, France, Germany, Sweden, Italy, Britain, Ethiopia, as well as offices of the U.N. High Commissioner for Refugees, which on Sunday criticized Israel's detention policy, the Post said.
"I am particularly disquieted about the purpose of the ... 'open' residence facility in Holot which, in its current form and despite its designation as 'open', would appear to operate as a detention center from where there is no release. This means, in effect, indefinite detention," the U.N. unit's representative, Walpurga Englbrecht, said in a statement.
Tens of thousands of asylum-seekers marched through central Tel Aviv Sunday in the largest demonstration ever by the African migrant community in Israel, the Post reported.
African migrants have marched and rallied for two weeks in Tel Aviv to protest implementation of an amendment to the Anti-Infiltration Law and the Holot open detention facility in the south, where hundreds of people have been detained since it opened last month.
Israel's government says most of the 50,000-to-60,000 people are economic migrants, not refugees, who shouldn't be allowed to stay in Israel.
Interior Minister Gideon Saar repeated the government's position that most of the people weren't asylum-seekers, the Times of Israel reported.
"They are demanding collective recognition as refugees in order to plant roots in Israel," Saar said on Army Radio.
The government's case-by-case investigation of the requests is working, Saar said.
"We're seeing a sharp rise in the number of infiltrators who are leaving Israel," he said. "They understand that the government is serious, that we are serious."