White House spokesman Tony Snow said the United States was "deeply saddened" by what he called the "vicious murder" of the four men who were abducted by a militant coalition connected to Al-Qaeda.
A statement from UN Secretary-General Kofi Annan called the killings "heinous" and said no cause could justify them.
Annan's statement called for the immediate and unconditional release of all hostages in Iraq.
The four Russians, employees of Moscow's embassy in Baghdad, were abducted in the Iraqi capital on June 3.
The kidnappers had demanded the withdrawal of Russian forces from Chechnya.
(compiled from agency reports)