The series was filmed in St. Petersburg and Moscow, mainly in historical locations. This is no coincidence - the events take place in an alternative historical reality, and the famous locations are needed to emphasize the connection between the historical line of our world and the world of the series. 

Filming locations:

Peter and Paul Fortress

In the movie

Scene where Runevsky comes to Bogrov's execution and tortures him to find out Karamora's identity, but learns nothing useful.

In reality

The scene was filmed in the Peter and Paul Fortress, in the western part, near the Ioannovsky Gate.