Oleg Nechiporenko was one of the three KGB agents/Soviet Embassy officers who talked with Oswald when he, Oswald, went to the Embassy in Mexico City in search of a visa. Nechiporenko (and the others) said Oswald was hysterical, emotional and erratic. He described the meeting in his book "Passport to Assassination"
This is part of it (pgs. 77=78): "[During the discussion] Oswald suddenly became hysterical, began to sob, and through his tears cried, "I am afraid...they'll kill me!" Repeating over and over that he was being persecuted and that he was being followed even here in Mexico, he stuck his right hand into the left pocket of his jacket and pulled out a revolver, saying, "See? This is what I need to defend myself!"
"I was dumbfounded and looked at Pavel [Yatsov, his fellow KGB agent], who had turned slightly pale but then quickly said to me, "Here, give me that piece." I took the revolver from the table and handed it to Pavel. Oswald, sobbing wiped away his tears. He did not respond to my movements. Pavel, who had grabbed the revolver, opened the chamber and emptied the bullets..."
After the assassination, Nechiporenko discussed Oswald with his fellow agents. He read the files on Oswald compiled by the KGB. The KGB had concluded that Oswald's traits included:
1. Strongly individualistic, conflicts with society
2. Psychological [problems], nervous instability
3.Inertia when he has no interest in the matter
4.Lack of organizing skills
5. Lack of any professional skills
The Cubans who met Oswald at the Cuban consulate in Mexico City said he was hysterical and aggressive and had to be physically escorted out the building. Oswald was told that "the Revolution doesn't need people like you" and was told to leave.
It's difficult to imagine why an impostor - trying to persuade the Cubans or Soviets that he was an ally - would behave this way. It makes no sense on any level. This is the behavior of someone - who if he's acting - that is trying to get rejected by the Cubans and Soviets. And if you're impersonating Oswald why go back again and again and again? And leave a photograph for an application? That's risking exposure.
In any case, the three KGB senior officials - these were very serious and well trained people; not a office secretary - said the man they met was indeed Lee Oswald. Is that proof? No but if you look at the totality of evidence it shows that Oswald did go to Mexico City.
The lack of a photograph of him entering the facilities (and the CIA had no coverage on weekends) doesn't eliminate all of this other evidence.
The three KGB agents were interviewed in 1993. They are shown below.