The leaders were teargassed after a heated confrontation with police officers.
The MPs march was halted at the main entrance of the station by the police officers who refused them to gain entry to see the detained MP.
After a heated confrontation, the legislators were dispersed after the police officers lobbed teargas cannisters to disperse the leaders who scampered to safety.
Kajwang was arrested, a day after he attended NASA leader Raila Odinga's swearing-in as the "People's President" before thousands at the historic Uhuru Park grounds.
Kajwang was at the heart of the much awaited swearing-in along with the self-proclaimed National Resistance Movement (NRM) General Miguna Miguna.
Kajwang was behind Odinga as he took the oath with Miguna and Siaya Senator James Orengo beside the NASA leader.
The MP was arrested by Flying Squad officers outside Milimani law courts and asked to head to DCI headquarters.