We study random sketching matrices with Khatri-Rao structure. In particular, we consider the Khatri-Rao product (i.e., column-wise tensor product) $A_1\odot\cdots\odot A_d \in \mathbb R^{(n_1 \cdots n_d) \times m}$ of random matrices $A_i \in \mathbb R^{n_i \times m}$ whose columns are isotropic, independent and sub-Gaussian (e.g., Gaussian matrices). Khatri-Rao sketching matrices are widely applied in randomized algorithms for linear algebraic computation and data analysis, when the input data has tensor structure that allows for fast multiplication with $A_1\odot\cdots\odot A_d$. However, existing theory is not able to fully explain their performance in practice. In particular, despite significant attention, our best bounds for the important \emph{oblivious subspace embedding} property with Khatri-Rao matrices lag behind what is achievable with standard unstructured matrices. For embedding a $k$-dimensional subspace to $(1\pm ε)$ error, Bujanović et al. \cite{bujanovic2025subspace} prove that sketching dimension $m = O(k^{3/2}/ε^2)$ suffices in the special case of $d = 2$. Their dependence on $k$ is weaker than the tight bound of $O(k/ε^2)$ known for unstructured sub-Gaussian sketching matrices. In this work, we close this gap, showing that $m = \tilde O(k/ε^2)$ suffices for subspace embedding with a Khatri-Rao sketching matrix with any fixed order $d$. Our proof is simple, leveraging just two basic properties of the Khatri-Rao sketching distribution: 1) the columns of $A_1\odot\cdots\odot A_d \in \mathbb R^{(n_1 \cdots n_d) \times m}$ are independent and isotropic, and 2) each column of $A_1\odot\cdots\odot A_d \in \mathbb R^{(n_1 \cdots n_d) \times m}$ satisfies a weak Johnson-Lindenstrauss type moment property.

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