Democracy advocates Iyad el-Baghdadi in Oslo, Norway, Omar Abdulaziz of Montreal, Canada, and a person in the United States who asked not to be named were working closely with Khashoggi on politically sensitive media and human rights projects at the time of his killing, TIME reported on Thursday.
The three advocates have received security briefings in recent weeks, warning them of a possible threat from Saudi Arabia, the report said.
El-Baghdadi - a Palestinian human rights campaigner and writer who won prominence during the 2011 Arab uprisings and has written critically of Saudi Crown Prince Mohammad bin Salman (MbS) - stated that Norwegian security services took him to a secure location on April 25 and told him of the possible threat.
"Once I was there and settled down, they told me that ... they have received a tip from a partner intelligence agency indicating that I've been the target of a threat," he told Reuters News Agency.
El-Baghdadi added that he spent three hours at the April meeting discussing with members of Norway's PST security service why he might be at risk.
"They did not describe the nature of the threat except to say that I had crosshairs on my back, that I shouldn't travel and that I should warn my family immediately," el-Baghdadi told TIME, noting, "But my entire conversation with the PST from beginning to end was about the Saudis."
The Saudi embassy in Oslo was not immediately available for comment. Saudi Arabia's government communications office did not respond to a request for comment.
El-Baghdadi underlined that the Norwegian authorities did not name the partner agency, but from the context of the conversation, he inferred they were referring to the US CIA.
The Norwegian justice ministry, which is in charge of the security services, the Norwegian security police, and the foreign ministry all declined to comment.
The CIA also declined to comment when contacted by Reuters.
Friends and associates of Saudi dissident Abdulaziz, who has permanent resident status in Canada, confirmed to TIME that Canadian security officials visited him at his Montreal home recently and provided a similar threat briefing, prompting him to go into hiding for several days.
Saudi Arabia has come under increasing global scrutiny over its human rights record since the grisly murder of Khashoggi last year inside the kingdom's Istanbul consulate and the detention of about a dozen women's rights activists.
A bipartisan chorus of US legislators has called on the White House to harden its stance towards Saudi Arabia after Khashoggi, a critic of MbS, was killed by Saudi agents in a move widely seen as an attempt to stifle dissent. A CIA assessment blamed MbS for ordering the killing, which Saudi officials deny.
Khashoggi's body has never been found.