He has his hood up as he enters the shop and disappears to his left. The bomb was left in a storage locker used to hold customers’ bags.
No one was killed in the attack but 13 people were injured, eight of whom remain in hospital.
The man then reappears in the video, walking around the store, apparently without the bag.
Investigators have opened an attempted murder investigation.
Russia's President Vladimir Putin called the bombing an act of terrorism.
Speaking at a military awards ceremony in Moscow, he added: "Recently the Federal Security Service prevented another attempted terrorist act."
He gave no further details about the foiled attempt.
No group has claimed responsibility for the supermarket bombing.
But earlier this month, Mr Putin thanked Donald Trump for a CIA tip-off that prevented a series of bombings in St Petersburg.
As a result, he said seven suspects linked to Isis had been arrested.
A suicide bomber blew himself up on a subway train in the city in April , killing16 and wounding more than 50.
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