The launch, if confirmed, would be the first use in war of a weapon designed to deliver long-distance nuclear strikes.
However, a Western official said the device was a ballistic missile but not an intercontinental ballistic projectile, CNN reported.
The launch came amid rapidly rising tensions in the 33-month-old war after Ukraine fired U.S. and British missiles at targets inside Russia this week, despite warnings by Moscow that it would see such action as a major escalation.
Investigation underway
"Today there was a new Russian missile. All the characteristics—speed, altitude—are (of an) intercontinental ballistic (missile). An expert (investigation) is currently underway," Zelenskyy said in a video statement.
The Russian missile attack targeted enterprises and critical infrastructure in the central-eastern city of Dnipro, the Ukrainian air force said.
It added that the missile was fired from the Russian region of Astrakhan, more than 700 km (435 miles) from Dnipro. It did not specify what kind of warhead the missile had or what type of missile it was. There was no suggestion it was nuclear-armed.
Regional governor Serhiy Lysak said the attack damaged an industrial enterprise and set off fires in Dnipro.