The central government has announced a price of Rs.129.85 per quintal for sugarcane during the 2009-10 under the Fair and Remunerative Price (FRP) system.
While, the Uttar Pradesh State Advisory Price (SAP) has been set between Rs 165 and Rs 170 per quintal.
Farmers want Rs 280 per quintal for their produce.
The farmers rally started at the Ramlila ground and will culminate at Jantar Mantar in central Delhi.
The Rashtriya Lok Dal (RLD), Bhartiya Kisan Union Tikait and Rashtriya Kisan Mazdoor Sangathan, were among the protesters.
Delhi Police has issued advisories asking people to stay away from central Delhi where traffic snarls were likely.
Ajit Singh of the Rashtriya Lok Dal, who led the farmers' protest in the capital, said, "Sugarcane farming in Uttar Pradesh is dependent totally on diesel and the price of diesel is touching the sky. In such a scenario if the farmers do not get an adequate price for their produce, the agitation is completely justified."
"Uttar Pradesh provides 40 per cent of the total sugar in the country," he added.