Customs and Border Protection officials detained the activists Monday after they filed applications for humanitarian parole at the Nogales border crossing to try to return to the United States.
CBP officials said they could not comment on specific cases but under immigration law all applicants for admission bear the burden of proof to establish they are eligible to enter the country.
Domenic Powell, a spokesman for the National Immigrant Youth Alliance, said the group hadn't been taken to a detention center as of Monday afternoon.
He said the alliance would continue to pressure federal authorities to let the eight activists "go back home" to the U.S.
Margo Cowan, a lawyer for the group, says she will file asylum applications on behalf of the activists if they are denied humanitarian parole.
On the U.S. side of the border, about 60 people waiting for the activists chanted in Spanish, "No papers, no fear."
Three activists left the U.S. and traveled to Mexico expressly to participate in the protest. The group wants to draw attention to the huge jump in deportations carried out under the Obama administration, and reaffirm their attachment to the country where they were raised.
The first one to be detained was Claudia Amaro Escalera, 37, along with her U.
Cowan said, "This will be a decision to be taken by the Obama administration, maybe not immediately, but I trust it will be the right decision."
Humanitarian parole means the activists can be released with the understanding that they are not a menace to society, she explained.
Lizbeth Mateo, Lulu Martinez and Marco Saavedra were the three youths who recently left the U.S. to organize the protest from Mexico with the National Immigrant Youth Alliance. They were brought to the U.S. illegally as children and have no legal status there even though they grew up in America.
"We cannot ask others to do something we ourselves are not willing to do," Mateo said before getting to the border.
She added the group hopes the Obama administration will create a process so all those who were deported from the U.S. can return.
"We are giving President Obama a chance to do the right thing. They always say, 'Why don't you come here legally?' Well this is his chance to create the legal process."
Members of NIYA such as Mateo have participated in other acts of civil disobedience, one of them in 2010 in the offices of U.S. Sen. John McCain, R-Ariz. They have also entered detention centers to publicize cases where prisoners are about to be deported without having a criminal record or a legal recourse.
The activists have said that if they were detained, they would do the same in detention centers in Arizona.
Maria Peniche and Adriana Gil Diaz could have benefited from a deferred action program recently offered by the Obama administration that lets young immigrants live in the U.S. on renewable two-year stays, but they had both returned to Mexico City shortly before the measure was announced.
Peniche, who was raised in Boston, Mass., was hoping to continue her university studies in Mexico, because they were too expensive in the U.S.
"I want to give a face and a voice to those who are undocumented immigrants like myself," she said.
Luis Gustavo Leon, 20, said he has been deported from the U.S. four times. He had gone to Mexico two years ago to continue his university studies but did not get used to the lifestyle there. His parents and brothers are all in North Carolina.
"I will keep trying because my family is there, because even though I'm Mexican, my culture is the American culture," he said.
He added he was not afraid of being detained.
"As long as there is hope, I will fight," Leon said. "If they tell me I can't do it, then I'll give up temporarily, but not completely. I'll go back to Mexico but later on I'll find a way to return."
Associated Press writer E.J. Tamara in Los Angeles contributed to this report.