Asked by a reporter, "Do you trust him do you believe him?" - the President simply relayed the Saudi leader's denial.
"All I can do is report what he told me and he told me in a very firm way that they had no knowledge of it. He said it very strongly," Mr. Trump added.
The President left open the possibility that his Secretary of State would also go to Turkey, where Khashoggi was last seen entering the Saudi consulate last week.
Officials in Turkey have laid out a story where Khashoggi was killed - and then possibly dismembered - by Saudi agents, a story that the Saudi government has firmly denied.
A Saudi citizen, Khashoggi has been a critic of his government, leading some to believe he was targeted by the Saudi regime.
"He firmly denied that," the President said of the Saudi King.