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."