Gomez made the comments June 30 in Los Angeles at the premiere of her new film, "Hotel Transylvania 3: Summer Vacation," in which she stars as Dracula's daughter, Mavis.
"It's extremely disheartening," the Mexican-American actress said in an interview with The Hollywood reporter. "There's a lot of confusion and anger."
"It's definitely been affecting so many people who are close to me," she said.
"Families seeking safety in our country need protection, understanding and opportunity, not detention," she said in a tweet posted a day before the rally.
"This is a moral choice, not a political one," the actress noted.
Rallies in over 700 US cities were held the same day, with Broadway star Lin-Manuel Miranda spearheading the New York event. Miranda's recent blockbuster musical, "Hamilton," focuses on the early days of the United States of America.
Gomez and Miranda are among a number of other celebrities — which include Alicia Keys, John Legend, Chrissy Tiegen, America Ferrera and Laverne Cox — who voiced their opposition to the immigration policy.
Notably, Miranda, Keys, Legend, Tiegen, Ferrera and Cox either endorsed or campaigned for Hillary Clinton during 2016 presidential race.