The announcement follows unconfirmed reports that Pyongyang's top diplomat in Italy had sought asylum from an unidentified Western country.
Jo Song-gil, the acting North Korean ambassador to Rome, is believed to be the son or son-in-law of one of the highest level officials in North Korea.
The last senior diplomat to defect was the deputy ambassador in London.
Thae Yong-ho abandoned his post in 2016, along with his wife and children. He defected to South Korea.
As one of the highest-ranking officials to ever defect from the North, his move was seen as a blow to Kim Jong-un's regime. He would go on to urge the world to spread information in North Korea to undermine Mr Kim's status among his people.
Speaking after a briefing from the spy agency on Thursday, Kim Min-ki, a government MP, told reporters that Mr Jo fled the Rome embassy more than a month ago.
"Acting ambassador Jo Song-gil's term was ending in late November last year and he escaped the diplomatic compound in early November," the MP said.
South Korean's National Intelligence Service told lawmakers they had not had any contact from him since then. The agency would not confirm that he is trying to defect to another country.