Around 200 family members, some in tears, linked arms and shouted slogans including "The Malaysian government are murderers" and "We want our relatives back."
The embassy is about four kilometers (2.5 miles) from the Lido Hotel, where meetings have been taking place throughout the drama.
A new chapter opened late on Monday when Malaysia said the plane had crashed in the Indian Ocean.
Chinese authorities normally keep a very tight rein on any protests in Beijing.
Scores of black-clad uniformed police officers were blocking traffic at the diplomatic mission, their walkie-talkies abuzz.
A relative who refused to give his name, but who has been one of the unofficial leaders of the Flight MH370 group, told AFP that the police "would have known" about the demonstration.
"We are still discussing with the police what we are going to do," he told AFP. "Maybe they are preparing for us to arrive."
Earlier, the relatives boarded large shuttle buses bringing them from various hotels to the Lido, intending to take them to the diplomatic mission, but dozens of police surrounded the vehicles and prevented them from driving off, leading them to march instead.
"We are going to protest at the Malaysian embassy," one man told AFP as he joined some 200 other relatives to board the buses at the hotel where they had gathered throughout the 17-day ordeal.
One family member was holding a loudspeaker and urging journalists to head to the embassy, while others stood in a group, somber and motionless, many holding pre-prepared printed placards and wearing "Pray for MH370" T-shirts.
"We want our families," read one placard. Others read "Son: mother and father's heart is broken, hurry home" and "Husband, hurry home. What am I and our son going to do?"
The protest did not appear to be spontaneous, as at least a dozen police cars were waiting nearby at the Lido.
The officers were standing in a row behind a sign reading: "Traffic restrictions, vehicles take a circular route." A policeman refused to say why the traffic restrictions had been imposed when asked by an AFP reporter.
The move to protest outside the embassy came hours after relatives reacted with grief and anguish as Malaysia confirmed their worst fears about the flight.
In dramatic scenes at the Lido Hotel, stretcher-bearing paramedics were drafted in to tend to family members devastated by the news, with at least two people carried out.
China has demanded that Kuala Lumpur hand over the satellite data that led it to conclude that the Beijing-bound Malaysia Airlines flight crashed at sea and that none of the 239 people aboard survived.
Two-thirds of the passengers were Chinese.
source: interaksyon.com
