Communication with Luna-25 was lost at 2:57 pm (1157 GMT) on Saturday, Roscosmos said.
According to preliminary findings, the lander "has ceased to exist following a collision with the Moon's surface".
"Measures taken on August 19 and 20 to locate the craft and make contact with it were unsuccessful," the space agency added.
It said a ministerial investigation would be launched into the causes of the crash, without giving any indication of what technical problems might have occurred.
With Luna-25, Moscow had hoped to build on the legacy of its Soviet-era Luna programme, marking a return to independent lunar exploration in the face of financial troubles and corruption scandals at the programme and growing isolation from the West.
The 800-kilogram Luna-25 probe was to have made a soft landing on Monday on the lunar south pole -- the first in history.
Russia has not attempted to land on a celestial body since 1989, when the Soviet Union's ill-fated Phobos 2 probe to explore the moons of Mars failed due to an onboard computer malfunction.
Roscosmos boss Yuri Borisov had said the venture would be "risky", telling President Vladimir Putin in June that the probability of it succeeding was "around 70 percent".
Luna-25 had been successfully placed in the Moon's orbit on Wednesday after being launched from the Vostochny cosmodrome in the Russian Far East.
- Space race -
But on Saturday, Roscosmos said an "emergency" had been detected during a manoeuvre by the probe prior to its Moon landing, preventing the operation from being carried out.
Luna-25 had been expected to stay on the Moon for a year, collecting soil samples and looking for water -- an ingredient enthusiasts hope could be used to make rocket fuel for future launches and support potential colonies living there.
Cameras installed on the lander have already taken shots of the lunar surface.
Doubts have overshadowed Russia's long-running space cooperation with the West over its military campaign in Ukraine.
While Russia has said it intends to use the International Space Station until 2028, the European Space Agency (ESA) has dropped plans to co-operate with Moscow on Moon and Mars missions.
Moscow last landed a probe -- Luna-24 -- on the Moon in 1976 and then shifted away from lunar exploration in favour of missions to Venus and building the Mir space station.
Landing Luna-25 successfully would have paved the way for further Russian missions to the Moon, at a time when India and China are launching their own probes and the United States returns to manned missions.
India's competing space probe, Chandrayaan-3, entered the Moon's orbit earlier in August and also hopes to land on the south pole.
Only Russia, the United States and China have previously achieved a controlled landing on the Moon.
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