The training was provided by Tier 1 Group, which is owned by the private equity firm Cerberus Capital Management, and was defensive in nature and devised to protect Saudi leaders, the Times reported.
Cerberus did not immediately respond to a request for comment from Reuters.
In response to the Times report, State Department spokesman Ned Price said under the law the department cannot comment "on any of the licensed defense export licensing activity alleged in media reporting."
Price also said US policy towards Saudi Arabia "will prioritize the rule of law and respect for human rights."
Khashoggi, a US resident who wrote opinion columns for the Washington Post critical of Saudi Crown Prince Mohammed bin Salman, was killed and dismembered by a team of operatives linked to the prince in the kingdom's consulate in Istanbul in October 2018. A US intelligence report in February said the crown prince had approved an operation to capture or kill the journalist.
Cerberus senior executive Louis Bremer confirmed his company's role in the training of four members of the Khashoggi kill team last year in written answers to questions from members of Congress as part of his nomination for a senior Pentagon job in former president Donald Trump's administration, according to the Times.
But the lawmakers never received the answers because the Trump administration does not appear to have sent them to Congress before withdrawing Bremer’s nomination, according to the Times, which said Bremer provided it with the document.
Bremer said the US State Department and other government agencies are responsible for vetting foreign forces trained on US soil, the Times reported.Cerberus CEO Steve Feinberg, a Jewish investor from New York, also served as the head of Trump's Presidential Intelligence Advisory Board from March 2018 until Joe Biden took office.Jerusalem Post Staff contributed to this report.