Video shows them climbing the wall in Tijuana.
Officials say the group of about 400 broke off from the estimated 5,000 who are currently in Mexico City.
Authorities also say the ones who climbed over only did so to provoke border agents into arresting them, but then climbed back over into Mexico.
Larger migrant groups are expected in the coming days.
U.S. Defense Secretary James Mattis was at the border Wednesday morning.
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