A group calling itself the National Socialists of Rus says it carried out the attack.
The clip, which was posted on some websites, shows one man being beheaded and the other shot.
One was from Russia's southern republic of Dagestan and the other from Tajikistan, captions on the video say.
Violence against people from the Caucasus and from central Asian and other foreign countries has been increasing in Russia in recent years.
The video, which has been removed from some of the websites which earlier hosted it, shows the killings to a soundtrack of heavy metal music.
The two men have had their arms and legs bound, and can reportedly be heard to say: "We were arrested by Russian national socialists."
Two men wearing masks and camouflage gear are shown giving Nazi salutes before the apparent killings go ahead.
Alexander Verkhovsky, an activist involved in monitoring racist crimes in Russia, told AP news agency that he had never heard of the organisation said to have carried out the attack, but the film appeared to him to be genuine.