All ceremonies saw the attendance of dozens of activists and political figures calling for unity and justice for the journalist.
The prayer in Medina was offered at dawn with the participation of Salah Khashoggi, the son of the Washington Post columnist.
In Indonesia, more than 600 people performed a funeral prayer in absentia for the journalist at Jakarta's Abu Bakar Ash Shiddiq Mosque.
Sheikh Yusuf Abdul Ghani, a Saudi imam who was on a visit to Indonesia as part of a humanitarian relief organization, led the prayer.
"We will perform funeral prayer for the martyred Jamal Khashoggi. He was killed very unjustly," said Abdul Ghani.
"We pray for him to get ease, for Allah to forgive his sins and make those who killed him pay the price," he added.
Short videos of the prayers have been shared on Twitter.
According to a Thursday statement by Salah Khashoggi, another prayer will be held in Mecca following the Friday prayer.
The family will accept condolences at their residence in Jeddah from Friday to Sunday.
Khashoggi, a frequent contributor to The Washington Post, was killed Oct. 2 inside the Saudi Consulate in Istanbul.
After weeks of denying any involvement in the crime, Saudi Arabia later admitted that Khashoggi had been killed inside the consulate but claimed the Saudi royal family had no prior knowledge of any plot to murder the journalist.
His body has yet to be returned to his family amid reports that it was chemically dissolved.
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