"Our colleague, the photographer Andrei Stenin, is dead. It turns out he was not a prisoner, he has been dead for a month," said the agency's head Dmitry Kiselev.
"His car was hit by shots and it had been burnt on the road close to Donetsk," Kiselev said, referring to a rebel stronghold in eastern Ukraine.
Russia had opened a probe in mid-August into the disappearance of the photographer and had believed that he had been taken by Ukrainian authorities.
Stenin, 33, had been based in Ukraine since May 14.
Three other Russian journalists were killed in Ukraine in June.
An Italian photographer and his Russian assistant were killed at the end of May.