According to the Index portal, the action was organized by several refugees, who also asked journalists to follow them.
Several police vehicles are following the refugees. A police officer told local media that the refugees should be registered in Hungary.
On Tuesday, Hungarian authorities closed Budapest’s main train terminal to migrants in an attempt to prevent them from traveling to neighboring European countries, leaving hundreds of refugees stranded at the station.
The station was opened again on Thursday, but authorities announced that some international trains had been suspended.
The same day, a train bound for a city on the border with Austria, departed from Budapest. It was stopped at Bickse, a town some 30 miles west of the Hungarian capital, which is believed to be near a reception center for migrants.
The passengers have refused to comply with the Hungarian authorities' order that they disembark from the train and relocate to the designated refugee center.
Europe, including Hungary, has been struggling with a massive crisis as tens of thousands of migrants try to enter the bloc, fleeing violence in their home countries, particularly in the Middle East and North Africa.
Last week, Hungary completed the construction of a 108-mile fence on the country’s southern border with Serbia to deter migrants from illegally crossing the country's border.
Hungarian Prime Minister Viktor Orban said on Thursday that Hungary would also build a barrier on its border with Croatia if undocumented migrants started to arrive from that direction.
