Kyiv on Thursday demanded an international investigation as it launched it's own probe into the downing of a Russian military aircraft that killed 65 Ukrainian prisoners of war.

The SBU security service opened Thursday a criminal probe into the crash that Moscow claims was caused by two Ukrainian missiles.

Ukrainian authorities have yet to confirm whether the captured soldiers were killed or if it was involved in the shooting down over Russia's western Belgorod region, close to the border with Ukraine.

"The security service of Ukraine has opened a criminal investigation into the downing of an IL-76 Russian Air Force plane in the Belgorod region," the SBU press service said.

"The SBU is currently taking a range of measures to clarify all the circumstances of the downing," it said.

Ukrainian President Volodymyr Zelenskyy called Wednesday for an international investigation into the incident.

Kyiv has confirmed a prisoner exchange was due to take place Wednesday at the border between the two countries, but said Moscow did not inform them that any POWs would be transported by plane.

Ukraine has also not confirmed or denied Russia's central claim that Kyiv shot down the plane, killing dozens of Ukrainian soldiers on board.

The SBU said its criminal probe was considering "violations of the laws and customs of war".

Zelenskyy warned Thursday that Ukraine's ability to ascertain facts surrounding the crash would be hampered given that it happened on Russian territory.