From the middle of the 18th century, the Russian delegation held services in Copenhagen, first in a small chapel in Laksegade and later in Store Kongensgade.

[3] The acquisition of the site on Bredgade (Broad Street) was arranged by Carl Frederik Tietgen and it has been reported that the Tsar disapproved of the selected location for religious reasons, since tradition called for a free-standing building.

[3] The church was designed by Russian architect David Ivanovich Grimm who was a professor at the Imperial Academy of Arts in Saint Petersburg.

The Danish architect Albert Nielsen was charged with the practical execution of the building under supervision of Ferdinand Meldahl.

High on the facade, in a niche above the bells, is an icon of Alexander Nevsky, the church's patron saint, painted by Fyodor Bronnikov.