The three senior KGB officers/Embassy officials who met Oswald in Mexico City were first interviewed in 1993 by the PBS Frontline program "Who Was Lee Harvey Oswald?" Here are excerpts from that show.
FRONTLINE NARRATOR: At the Soviet embassy, he met with three consular officials. In fact, all three were KGB officers working under diplomatic cover. In this, their first interview, they recall that Oswald's hands were shaking and his behavior was erratic.
OLEG NECHIPORENKO, KGB: [through interpreter] We all thought the man had an unstable nervous system. He was extremely agitated.
VALERY KOSTIKOV, KGB: [through interpreter] During our talk, Oswald kept feeling in his pockets, taking out all sorts of papers. Then he took out a gun and put it in front of him. I sat opposite him. I took the gun away and put it on Pavel's desk.
Pavel Antonovich asked him, "Why did you come here with a gun? What do you need a gun for?" He said, "I'm afraid of the FBI. I'm being persecuted. I need a gun to protect myself, for my personal safety." That's what he said."
The three KGB officers were shown the photo that the CIA released. All said the man was not the person they met who said he was Oswald.
NARRATOR: But there is much evidence that the real Oswald was in Mexico City. At the Soviet embassy, all three KGB officers told FRONTLINE the man they met was the real Lee Harvey Oswald, not the man in the photograph the CIA released.
VALERY KOSTIKOV, KGB: [through interpreter] No, this is a completely different person. The Oswald who had visited our embassy and whose photographs I saw in many newspapers and on TV was completely different.
Source/link:
https://www.pbs.org/wgbh/frontline/film/oswald/transcript/Nechiporenko wrote a book - "Passport to Assassination" - about the meeting. He said the man was indeed Lee Harvey Oswald and that the man in the photo did not identify himself as Oswald but was an American who had visited the Embassy before seeking a visa.