The KCNA dispatch came after South Korean media reported late Monday that Kim may be on his way to Beijing aboard a special train for his fourth summit with Chinese leader Xi Jinping.
Experts say that Kim's trip to China could be followed by his visit of Seoul or meeting with US President Trump as early as February.
North Korea, which touts itself in its propaganda as a socialist paradise, is extremely sensitive about defections, especially among its elite diplomatic corps, and has previously insisted that they are South Korean or USA plots to undermine its government.
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Dozens of security vehicles and officials blocked the roads around the train station in Dandong before the train passed, leading to speculation Kim was on board.
Yonhap said the train was expected to reach Beijing at about 10 am Tuesday local time.
Trump, who held a landmark summit with Kim in Singapore in June that resulted in a vaguely worded pledge "to work toward the denuclearization of the Korean Peninsula", said last week that he had received a "great letter" from the North Korean leader but declined to reveal its contents.
Mr Jo Song Gil, the 44-year-old who was until recently North Korea's acting ambassador to Italy, disappeared with his wife after leaving the embassy without notice in early November, South Korean lawmakers said last Thursday.
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Since emerging onto the world stage in the past year, Kim has mended previously strained ties with neighbour and key ally China, and made sure Xi has been kept in the loop.
"I am always ready to sit down again with the USA president at any time and will make efforts to produce an outcome that the worldwide community would welcome, however if the USA miscalculates our people's patience, forces something upon us and pursues sanctions and pressure without keeping a promise it made in front of the world, we have no option but to explore a new path in order to protect our sovereignty and achieve peace on the Korean peninsula", Kim stated. China says it imported no North Korean coal from January to March 2018. "The not unfounded hope of Kim Jong Un is that in such a strategic setting, China would be willing to provide protection and economic support while abstaining from too massive direct interference".
North Korea and China have worked to maintain friendly ties amid thawing tensions between the Hermit Kingdom and South Korea and the United States.
North Korea's state media described Thae as "human scum" after his defection and claimed he was trying to escape punishment for serious crimes.
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In recent years, the lack of a reliable power supply led many North Koreans to install cheap household solar panels to charge mobile phones and light their homes.