The group, which includes children, women and elderly, says the government has not implemented the loan waivers it promised last year.
The Maharashtra state government says it is open to talks to end the protest.
Farmers say the state has seen rapid growth but they have been left out.
The crowd of farmers walked six days from Nashik and timed it so that they reached Mumbai's Azad Maidan (grounds) in the early hours of Monday to avoid disrupting school exams and the daily commute of workers.
The farmers say they want to be paid at least one-and-a-half times the cost of their crops.