They say the Foreign and Commonwealth office and consulates are failing families who are desperate for answers about their loved ones' deaths.
Relatives have told of a struggle to get information, difficulties in getting loved ones home and frustration that fatal accident inquiries are not held when Scots die abroad, unlike in England.
Families attending will include Jean and Douglas McCulloch, from Cardonald, whose son Alan, 43, was found dead on a beach in Cambodia earlier this year. The family were told Alan had died in a swimming accident.
Jean says she struggled to get any information from the Foreign and Commonwealth Office and chose a cremation overseas due to the lack of help to take her son's body home.
The 62-year-old said: "I got a call from one of Alan's friends at 3.20am. I called the police and got through to Govan police who told me there had been an incident involving Alan, that was it.
"I didn't hear anything from the Foreign office. I called them to ask about help for the funeral but got no help. My daughter ended up hounding someone there and eventually she got in touch with me.
"She said they were waiting for a good time to call me. There is no good time to call when you have lost someone.
"I had to go over to make sure it was my son. Nobody spoke any English, there was no one to help us.
"We found out from a local man that he had hit his head on a beam when he was making his way home. All his money and possessions had been stolen from his hut.
"We couldn't even register our son's death in Scotland because he died outside the UK."
Julie Love, from Maryhill, whose son Colin, 23, drowned in the Caribbean, in 2009, will also be demonstrating.
The finalist in this year's Evening Times Scotswoman of the Year awards set up a charity DAYNA - Death Abroad You are Not Alone - to help families and campaign for fatal accident inquiries to be held in Scotland.
Other families taking part will include Gemma Kelly, 19, partner of Christopher Divers, from Penilee, who died in April in a car accident in North Carolina, where he was training to be a green keeper.
More than 100 families are travelling for the protest at the Foreign Office on October 9.
Organiser Julie Sheppard, from the Borders, told how it took three months for her son Andrew's body to be returned after he was found dead in France. When it was, they discovered that some of his organs were missing.
The French authorities concluded Andrew's death was caused by his ill-health, but Mrs Sheppard, who lives near Selkirk, believes the medica-tion prescribed in France to her son, who suffered from paranoid schizophrenia, contributed to his death.