Moscow might keep Australian war prisoner Oscar Jenkins for a future high-profile swap with Russians held in jail in the West, an expert says.

Oscar Jenkins, once feared dead, is believed to be alive and in Russian captivity. Foreign Minister Penny Wong has called for his release and warned Moscow the federal government's response will be "unequivocal" if he is not treated humanely.

Australian officials believe Melbourne man Oscar Jenkins may still be alive in Russian captivity rather than dead as feared.

Australian Prime Minister Anthony Albanese said Wednesday Russia has reported Oscar Jenkins is alive and in custody. The Australian man went to Ukraine to fight against Russia's invasion and was feared dead.