The video, which was circulated on social media, showed a prisoner wearing the orange tunic and trousers often seen on captives in IS's videos.
It is the first video from the group to show the apparent execution of a Russian since Moscow began air strikes in support of Syria's government on September 30.
Speaking in Russian, the detainee allegedly confesses to being recruited by Russian intelligence to gather information on IS and its members from the Caucasus.
A Russian-speaking fighter then addresses Moscow directly, warning that its forces will be defeated and its troops killed.
IS has claimed the execution before of alleged Russian spies.
In January, it released a video purporting to show a young boy shooting dead two men accused of working for Russian intelligence services.
IS controls large swathes of Syria and Iraq, which it rules as a self-declared "caliphate."
The city of Raqa, in Syria's northern Raqa province, is a stronghold of the group and its de facto Syrian capital.
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