Explanation: The Soviets were actually quite surprised by the assassination of JFK, and the KGB cooperated with the US by sharing investigation files on the assassination (which several high-ranking Soviets believed to be the product of a right-wing conspiracy against Kennedy).
The CIA in response
CIA- “Why would we sus–oh right! Yes, of course we suspect you, since we have no idea what happened, that means you’re probably on the top of the suspect list. I mean, you definitely are, just one sec let me grab the suspect list… Yep, there you are, suspect number one, KGB! We’ll be in touch if we have any questions.”
KGB- “Would you like us to send you our evidence to help prove our innocence? We were watching, of course.”
CIA- “You have evidence? What kind of evidence? Yeah, please send it, all copies, if you can. Just how closely were you watching? You shouldn’t be getting all into other people’s privacy, you know!”
KGB Chief: “Alright which one of you did it! Do you have any idea what kinda jeopardy you’ve put the world into! If the Americans find out what you fucking did, the world may go to nuclear war! How irresponsible! Its only a matter of time before-”
Agent: “Boss, it wasn’t one of us!”
Chief: “What… then who? The Cubans? Vietnamese?”
Agent: “We saw a mob boss, a federal reserve agent, and a CIA guy all talking an hour prior. We didn’t think anything of it until we heard the shots.”
America just needed someone to blame.