Tajik Foreign Ministry spokesman Davlat Nazri told RFE/RL's Tajik Service that the protest letter was handed on Thursday to Vyacheslav Svetlichny, the charge d'affairs at the Russian Embassy in Dushanbe.
Nazri said Tajikistan is demanding that Russia find and punish those who executed Aziz Salohiddinov, 20, on December 5.
Salohiddinov's head was found near the village of Zhabkino, outside of Moscow, on December 6. The so-called Military Organization of Russian Nationalists claimed responsibility for the beheading.
The Tajik letter to Russia says that more than 600 Tajiks have died in Russia this year and 84 of them were killed in hate crimes.
Russia is home to about 1 million Tajik migrant workers.