Senor told reporters that Berg, 26, from West Chester, Pennsylvania, was detained by Iraqi police in Mosul. The Iraqis informed the Americans and the FBI met with Berg three times to determine what he was doing in Iraq.
Senor said that to his knowledge, "he (Berg) was at no time under the jurisdiction or detention of coalition forces."
However, calls by The Associated Press to police in Mosul failed to find anyone who could confirm Berg was held there or why.
President Bush said Wednesday that "there's no justification" for the execution of Berg.
Earlier, a U.S. official, speaking on condition of anonymity, said Berg was in Iraq "of his own accord" and had been advised to leave Iraq but refused. The official refused to elaborate but promised more information later Wednesday.
The video in which Berg was killed bore the title "Abu Musab al-Zarqawi shown slaughtering an American," referring to an associate of Osama bin Laden believed behind a wave of suicide bombings in Iraq.
In it, black-masked militants recited a statement as Berg sat bound on the floor. The men the severed Berg's head and held it up for the camera on the video posted Tuesday. The killers said the act was in revenge for the abuse of prisoners at
Berg's body was found near a highway overpass in Baghdad on Saturday, the same day he was beheaded, a U.S. official said.
According to his family, Berg, a small telecommunications business owner, spoke to his parents on March 24 and told them he would return home on March 30. But he was detained by Iraqi police at a checkpoint in Mosul on March 24.
The family says Berg was turned over to U.S. officials and detained for 13 days. His father, Michael, said his son wasn't allowed to make phone calls or contact a lawyer. On April 5, the Bergs filed suit in federal court in Philadelphia, contending that their son was being held illegally by the U.S. military.
The next day Berg was released, the family said. He told his parents he hadn't been mistreated. His family last heard from him April 9 but it was unclear when and where he was abducted.
Asked for details about Berg's last weeks in Iraq, Senor replied: "We are obviously trying to piece all this together, and there's a thorough investigation." But he said he was reluctant at this time to release details.
He said "multiple" U.S. agencies would be involved in the Berg case and that the FBI would probably have overall direction.
Senor said that in Iraq, Berg had no affiliation with the United States government, the coalition or "to my knowledge" any coalition-affiliated contractor.
Berg's family said they were informed by the State Department on Monday that he was found dead.
When told by a reporter about the Web site, Berg's father, brother and sister grasped one another and slowly dropped to the ground in their front yard, where they wept quietly while holding each other.
"I knew he was decapitated before," Michael Berg said. "That manner is preferable to a long and torturous death. But I didn't want it to become public."
Col. Mike Phillips, a spokesman for the U.S. military, told The Associated Press that Berg's body left Kuwait aboard a U.S. Air Force plane Tuesday night and was expected Wednesday at the U.S. Air Force Base in Dover, Delaware.
The Bush administration said those who beheaded Berg would be hunted down and brought to justice.
"Our thoughts and prayers are with his family," White House Press Secretary Scott McClellan said. "It shows the true nature of the enemies of freedom. They have no regard for the lives of innocent men, women and children."
It was unclear whether al-Zarqawi was shown in the video or simply ordered the execution. Al-Zarqawi also is sought in the assassination of a U.S. diplomat in Jordan in 2002. The United States has offered a $10 million reward for information leading to his capture or killing.
Because Berg was a U.S. citizen, the FBI has jurisdiction to investigate the case as a criminal matter. A senior law enforcement official in Washington, speaking on condition of anonymity, said the FBI would probably get involved so long as adequate security is provided by the military for investigators to do their work.
The decapitation recalled the kidnapping and videotaped beheading of Wall Street Journal reporter Daniel Pearl in 2002 in Pakistan.
Last month, Iraqi militants videotaped the killing of Italian hostage Fabrizio Quattrocchi, but the Arab TV network Al-Jazeera refused to air it because it was too graphic.
Friends and family of Berg said he— working in Ghana, in one example — and that his going to Iraq fit with that ideology. They said he supported the Iraqi war and the Bush administration.
"He was so upbeat about the things he was witnessing in Iraq. And he wanted to be part of that rebuilding process using his skills," David Skalish, a longtime friend of the victim, told CBS News' Early Show.