Mr Khan was given bail in a range of other criminal cases against him after being arrested and held for three days last month, which led to violent protests by his followers.
He travelled to Pakistan's capital from his Lahore home to seek bail in the murder case and to extend his bail in more than a dozen other cases, to avoid being rearrested, his lawyer Gohar Khan said.
The 70-year-old former cricketer who become prime minister in 2018 has been embroiled in a confrontation with the powerful military since being ousted in a no-confidence vote last year.
The military has ruled directly or overseen civilian governments throughout the history of a country in which political confrontations are often fought out in court.
Mr Khan's arrest on May 9 on corruption charges, which he denies, triggered protests in which military properties were ransacked, raising concerns about the stability of the nuclear armed country of 220 million people as it struggles with its worst economic crisis in decades.
Charges against Mr Khan have been piling up since he was freed. On Wednesday, police named him in connection with the murder of a lawyer seeking sedition proceedings against him.
Mr Khan says he is facing nearly 150 cases and denies all allegations.
His lawyer had said the former prime minister would approach anti-terrorism courts, anti-graft courts and the High Court in Islamabad to appeal for bail in connection with more than a dozen cases.
Mr Khan, who has been campaigning for an early election since his ousting last year, said in an online address to party workers on Wednesday that he was resigned to the possibility he could be arrested for a second time.
The military, which denies involvement in civilian politics, initially regarded Mr Khan, with his conservative, nationalist agenda, as a leader who shared their interests. But as prime minister, he took steps that angered the generals, in particular in connection with security sector appointments.
He has accused the military and its intelligence agency of trying to destroy his party, saying he has "no doubt" he will be tried in a military court and sentenced to jail as part of the army-backed crackdown on his party.
The military issued a statement on Wednesday saying all planners and perpetrators of the violence on May 9 had to be brought to justice.
Mr Khan's replacement as Prime Minister Shahbaz Sharif has rejected his call for an early election to be held before the next poll is due later this year. Mr Khan says the cases against him are aimed at ensuring he is excluded from the polls.
He has appealed for talks to end the stand-off with the military, which the government has rejected.