Both men's lawyers had earlier said, citing the Russian legal code, that the probe should be carried out in Moscow, allowing them to be closer to their families and legal teams. A Moscow court had earlier upheld the claim on March 20. This is the fifth time a Moscow court has ruled on the issue.
On March 14, a court in Chita, where the former richest man in Russia is serving an eight-year sentence on fraud and tax evasion charges, rejected Khodorkovsky's complaints regarding violations in investigating two sets of charges against him.
Khodorkovsky accused investigators at the Prosecutor General's Office of concealing evidence proving his innocence.
The latest charges against Khodorkovsky and Lebedev, both convicted in 2005, include stealing government shares, illegal oil trading, and laundering $25 billion earned from oil sales in 1998-2004.
Both have maintained their innocence of all the charges. Khodorkovsky said his imprisonment was a direct result of his support for Russia's tiny pro-Western opposition. President Putin has hinted that president-elect Dmitry Medvedev may pardon Khodorkovsky.
Yukos, once Russia's largest independent oil producer, collapsed after claims of tax evasion in 2004 which led to the company being broken up and sold off to meet creditor claims. The bulk of its assets were bought through liquidation auctions by government-controlled oil company Rosneft. The company was officially dissolved in 2007.
The Vedomosti business daily reported on Friday that Yukos had so far overpaid its tax bill by more than 90 billion rubles ($3.8 billion).
