The four organizations said an global investigation should probe Saudi Arabia's role and aim to identify everyone responsible for ordering, planning and executing any operations related to Khashoggi's disappearance.
This year's event comes as Saudi Arabia faces intense global pressure following the disappearance and apparent death of Jamal Khashoggi, a Saudi citizen and US resident who has written critically of the Saudi regime.
He said he had been assured that Saudi Arabia would investigate the matter, and that he had told Mr Trump to give the country "a few more days" before deciding whether to take action.
Turkish investigators have for the second time searched the Saudi consulate in Istanbul where the journalist vanished from on October 2.
Turkish sources have told Reuters the authorities have an audio recording indicating Khashoggi, a US resident who wrote columns for the Washington Post, was killed.
Secretary of State Mike Pompeo has heard an alleged audio recording of Washington Post columnist Jamal Khashoggi's murder inside the Saudi consulate in Istanbul, according to a senior Turkish official.
He had been living in the United States after criticising Saudi's authoritarian rulers and was writing for the Washington Post.
A demonstrator dressed as Saudi Arabian Crown Prince Mohammed bin Salman (C) with blood on his hands protests outside the Saudi Embassy in Washington, DC, on October 8, 2018, demanding justice for missing Saudi journalist Jamal Khashoggi. Pompeo returned from his trip to Riyadh and Ankara on Wednesday night.
"I think it's important for us all to remember, too - we have a long, since 1932, a long strategic relationship with the Kingdom of Saudi Arabia", Pompeo told reporters, also calling Saudi Arabia "an important counterterrorism partner". Turkish officials allege he was murdered there.
Mnuchin sent a tweet on Thursday saying that after meeting with President Donald Trump and Secretary of State Michael Pompeo he decided not to participate in the Future Investment Initiative, an event organized by Crown Prince Mohammed bin Salman.
"We deal with people who are bad because sometimes we have to, but these are allies, this shows tremendous disrespect for me and President Trump to put us in this box", Graham said.
"This has touched a nerve because it is Saudi Arabia, it is the United States", and there are fears he has been killed, Mahoney said.