In this remarkable blog post on Espionage History Archive, Nikolai Leonov, KGB rezident in Mexico City in 1963, talks about his encounter with the man who would be accused of killing JFK.
Entering the reception room for foreigners, I saw a young man with an unusually pale face. A revolver lay on the table, its cylinder loaded with bullets. I say nearby and asked him how I could be of assistance. The young man said his name was Lee Oswald.
Source: Oswald & the KGB in Mexico | Espionage History Archive