Adopting a tough stance, he served an ultimatum to all crop insurance companies to clear the claims of the farmers within 15 days, failing which the agitation would be intensified.
Thackeray also called upon the bank to clearly come out with full details of the loan waivers they had carried out within a fortnight.
"All the farmers' loan waiver applications and their crop damage claims pending with the insurance firms must be cleared within 15 days," Thackeray warned, addressing a rally after the protest.
"We eat food grown by the farmers... The march is to support their cause and work out a solution," he said.
A delegation of party leaders called on the management of the Bharati AXA Insurance Company and submitted a memorandum on the farmers' demands.
Earlier this afternoon, Thackeray led the procession from the Asian Heart Institute to the headquarters of the private insurance company in the Bandra Kurla Complex.
The marchers included Yuva Sena chief Aditya Thackeray, party ministers in the state government, legislators, party office-bearers and farmers.
They carried placards, banners, party flags and raised slogans condemning what they termed the "injustice" meted out to farmers vis-a-vis crop insurance and the alleged frauds in the scheme.
However, Leader of Opposition Vijay Wadettiwar, Swabhimani Shetkari Sanghatana chief Raju Shetti and others have criticized the procession as a "pre-election gimmick" and said "it showed the Shiv Sena could not discipline the insurance companies while being a part of the government in the state and centre."
( With inputs from IANS )