Grand Duchess Xenia Alexandrovna was born on 6 April 1875 at Anichkov Palace in St. Petersburg. She was the elder daughter among the six children of Alexander III of Russia and his wife, Empress Maria Feodorovna of Russia (née Princess Dagmar of Denmark).
After the assassination of her paternal grandfather Tsar Alexander II of Russia, when Xenia was six years old, her father Alexander III ascended to the Russian throne in 1881. It was a difficult political time, plagued with terrorist threats and for security reasons Alexander III moved with his family from the Winter Palace to Gatchina Palace. Xenia and her siblings were raised mostly there in relative simplicity. As a child, Xenia was a tomboy and was very shy.
Xenia, like her brothers, received her education from private tutors. A special emphasis was laid on the study of foreign languages. Apart from her native Russian, Xenia studied English, French and German. Xenia learnt cookery, joinery and making puppets and their clothes for their theatre. She also enjoyed riding and fishing in the nearby river on the Gatchina estate, drawing, gymnastics, dancing and playing the piano.
Her entire family enjoyed family holidays at the home of her Danish maternal grandparents, Fredensborg Castle. It was on such a visit that she met her cousin and lifelong friend, Princess Marie of Greece, daughter of King George I of Greece and his Russian born wife, Queen Olga. The Danish composer, Valdemar Vater, paid Xenia a tribute by writing the 'Polka Mazurka'.
Xenia and her paternal first cousin once removed Grand Duke Alexander Mikhailovich of Russia, her eventual husband, played together as friends in the 1880s. Alexander, usually called Sandro, was also a friend of her brother, Nicholas. In 1886, 20-year-old Alexander was serving in the navy. Eleven-year-old Xenia sent him a card when his ship was in Brazil, "Best wishes and speedy return! Your sailor Xenia". In 1889, Alexander wrote of Xenia, "She is fourteen. I think she likes me."
At age 15, though Xenia and Alexander wanted to marry, her parents were reluctant to trust because Xenia was too young and they were unsure of Alexander's character. The Tsarina Maria Feodorovna had complained of Alexander's arrogance and rudeness. It was not until 12 January 1894 that Xenia's parents accepted the engagement after Alexander's father, Grand Duke Michael Nikolaievich of Russia, intervened. The couple finally wed on 6 August 1894 in the SS Peter & Paul Chapel of the Peterhof Palace. Xenia's younger sister, Olga, wrote about the joy of her wedding, "The Emperor was so happy. It was the last time I ever saw him like that." They spent their wedding night at Ropsha Palace, and their honeymoon at Ai-Todor (Alexander’s estate in Crimea). During the honeymoon, Xenia's father, Alexander III, became ill and died on 1 November 1894. Her eldest brother on the death of her father had inherited the crown and became the new Tsar Nicholas II.
Xenia was heavily involved in charitable works. She was a member of the Women's Patriotic Association. From 1903, Xenia was patron of the Creche Society which looked after poor working class children while their families were at work in St.Petersburg. She took a particular interest in hospitals for patients suffering from tuberculosis in the Crimea, perhaps influenced by the death of her brother George from the disease in 1899. She was also patron of the Maritime Naval Welfare Association which took care of widows and children of naval personnel. Xenia also founded the Xenia Association for the Welfare of Children of Workers and Airmen. In addition, she was patron of the Xenia Institute, a St. Petersburg boarding school for 350 students.