The CCTV images show the journalist, who Saudi Arabia has said was murdered, wearing a black jacket, a grey shirt and grey trousers walking through a gate and towards the building.
One image, first shared by TRT World, shows him in conversation with wife-to-be Hatice Cengiz.
He is then seen strolling towards the consulate, apparently smiling. She waited for hours expecting 59-year-old Mr Khashoggi to exit the consulate.
Ms Cengiz, a Turkish national, alerted authorities after the writer did not emerge. She has since been given 24-hour police protection.
Following recent events, she wrote a message to Mr Khashoggi on Twitter.
This said: “They took your bodily presence from my world. But your beautiful laugh will remain in my soul forever.”
The late journalist entered the Saudi consulate on October 2 to get papers for his upcoming marriage.
Other footage showed the pair leave their apartment building together on the day of his disappearance
Saudi Arabian officials initially said Mr Khashoggi left its Istanbul consulate alive when his disappearance was first reported.
It later stated the Washington Post columnist, who was known to be critical of the Saudi government, died during a fight.
Adel Al-Jubeir said: “This is a terrible mistake. This is a terrible tragedy. Our condolences go out to them. We feel their pain.
“Unfortunately, a huge and grave mistake was made and I assure them that those responsible will be held accountable for this.”
Saudi Arabia also stated 18 suspects are in custody in connection to the death, while a number of intelligence officials have been fired in relation to the incident.
The UK, France and Germany have issued a joint statement on journalist Jamal Khashoggi's death saying there is “an urgent need for clarification" on what happened inside the Istanbul consulate.
While the Turkish President Tayyip Erdoğan has vowed to reveal more information in a speech on Tuesday.
Saudi King Salman and Crown Prince Mohammed bin Salman both contacted Mr Khashoggi's son, Salah, by phone to express their condolences for the death, according to the Saudi Press Agency.
Saudi Arabia has denied either of the royals were involved in the situation.