The series was filmed in Tobolsk and St. Petersburg. 

Filming locations:

Tobolsk Kremlin

In the movie

Scene where Prince Matvey Gagarin is doing business in the Kremlin.

In reality

The scene was filmed in the Tobolsk Kremlin (Gostiny Dvor), which has preserved its original appearance quite well and was perfect for the film, almost without changes. There were minor adjustments, but mostly to preserve historical accuracy, for example, the steps in the Kremlin were removed and replaced with an embankment, which was there at the time.