The 12-minute Russian-language video showed the man - identified as Evgeny Petrenko - dressed in a black jump suit kneeling in a desert scene and urging other Russian agents to surrender.
It emerged on the day Vladimir Putin held a huge Victory Day parade to celebrate the anniversary of the 1945 victory over Nazi Germany.
He reportedly wanted the display of military might to make his foreign foes "salivate".
The lengthy ISIS video repeated the format used in previous hostage executions, including of James Foley and David Haines, showing Petrenko giving a 'confession' under duress.
"This idiot believed the promises of his state not to abandon him if he was captured," Petrenko says in the footage, before a Russian-speaking ISIS jihad beheads him with a knife.
He was shown supposedly confessing to attempting to infiltrate jihadi groups in the Caucus, Turkey and Syria, where he allegedly contacted Chechen militant Omar al-Shishani who has since been killed in a US air strike.
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