The two-time Oscar winning actor was photographed filming outside the Saudi Consulate in Istanbul, where Khashoggi was killed after entering the bilding on the 2 October.
BBC Turkey reports that Penn was accompanied by 10 people, including bodyguards and a crew. The 58-year-old continues to work with a production team in the area.
Saudi Arabia has detained 21 people linked to the murder of Khashoggi and says it is seeking the death penalty for five. Turkey has instructed the country to extradite all suspects in Khashoggi’s murder, including two key allies of crown prince Mohammed bin Salman.
Khashoggi was a vocal critic of the Saudi government. After entering the Consulate, he was first reported to be alive until the Saudi administration admitted to killing him, blaming a “rogue” team.
Penn – who has previously been outspoken on multiple political issues, including President George Bush, Hurricane Katrina, and the Falkland Islands – is currently appearing in the series The First.