The video, which AAP has not been able to independently verify, shows the bedraggled 32-year-old wearing a military camouflage uniform and being asked by to confirm he is alive.
"My name is Oscar Jenkins ... I come from Australia, I'm Australian," he says in a video uploaded to YouTube more than a week ago.
The identity of the man filming is unknown, but appears to be one of Mr Jenkins' captors who speaks to him in English.
The man says the date is January 17 but does not identify the location.
He says Mr Jenkins is a prisoner of war from the 66th mechanised brigade of the armed forces of Ukraine.
"Tell us about your health condition, about your mood. Are you OK?" he asks.
"I would like more freedom," Mr Jenkins says.
"I feel a bit weak. I've lost a lot of weight. I have a broken arm still, I think, and my hand is not good."
Mr Jenkins is wearing warm clothing and a beanie, as temperatures in Russia plunge to minus 15C.
The man filming says "but you're alive" and then prompts the captured Australian to confirm that news of his death is wrong.
"Correct," Mr Jenkins says in response, before being told to remove his beanie.
"Everything is OK," the man filming says.
"He is alive and I think he will (be) better."
Ukrainian ambassador to Australia Vasyl Myroshnychenko previously said his government had added Mr Jenkins to its list of prisoners of war and would be negotiating for his release in an exchange.
The prime minister said Australia has made representations to Ukraine, including a one on one discussion he had with Ukrainian President Volodymyr Zelenskiy.
"We still hold serious concerns for Mr Jenkins' welfare," he told ABC radio on Tuesday.
"We've made it clear to Russia that Mr Jenkins is a prisoner of war and that there are obligations that kick in in accordance with international humanitarian law, and they must be observed.
"We have called for Russia to release Mr Jenkins."
The Department of Foreign Affairs continues to provide support for his family in Melbourne.
It will be three years since Russia launched its invasion of Ukraine on February 24.
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