Some protesters entered the building, seized files, and burnt them in the street outside.
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Dozens of women in Mexico City have attacked the attorney general's office, in a protest against police violence and the high number of murders of women.
They managed to enter the building and take away bundles of files which they then set alight on the street outside.
The United Nations estimates that 10 women are killed in Mexico every day.
Earlier in the week police fired live rounds during a similar protest in Cancun, the country's top beach resort on the Caribbean coast, as protesters tried to force their way into the city hall.
Hundreds of protesters, mostly women, had been demonstrating after a local woman was murdered.
The dismembered body of Bianca "Alexis" Lorenzana, a 20-year-old from Cancun, was found on Sunday in plastic bags, a day after she was reported missing.
She had been a member of the Aztec Symphony Orchestra and had been active in the feminist movement.
Another woman was also killed in Cancun over the weekend.
Three people were injured when police fired in the air for several minutes and chased the protesters through a budget hotel district after property was vandalised.
Live fire by police against protesters is unprecedented in Cancun and rare across Mexico.
It was criticised by authorities at the regional and national level, cost the local police chief his job, and led to the suspension of Quintana Roo state's head of security.