He invited flutist Paul Taffanel, oboist Georges Gillet and clarinetist Charles Turban [fr] to come with him, and wrote the Caprice sur des airs danois et russes specially for them, just before leaving Paris.

[3] The highlight of the concerts was reportedly the Caprice, though the programs also included various piano pieces by Saint-Saëns and ballet music from his operas, as well as his works for flute and orchestra (Tarantelle, Romance, and Prélude du Déluge), oboe solos by Handel, Gillet and Diémer, and clarinet works by Weber, Mozart and Saint-Saëns.

Nevertheless the concerts had become very fashionable; for the first time the audience had applauded solos on the flute, clarinet and oboe, instruments that it was unusual to hear played on their own.Anton Rubinstein, at that time director of the Saint Petersburg Conservatory, was reportedly so impressed that he made all the wind students attend the final concert in Saint Petersburg on 26 April, so they could "get some idea of exactly what could be achieved on these instruments".

[3] On 17 April 1887, a few days before the premiere, Saint-Saëns wrote to his publisher Durand: "We rehearsed the caprice for Flute, Oboe, Clarinet and Piano.

"[7] Nevertheless, A. Benfeld, a close friend and admirer of Saint-Saëns who was also known as Albert Kopff,[8] made an arrangement for two pianos which was published in January 1896, and performed by Juliette Toutain and Louise Lhote at a Société d'art concert in Salle Pleyel on 20 December that year.

[9] The first variation of Theme B is a brilliant rendition with octave jumps and thick chords in the piano, also incorporating elements from the Introduction.

"[14] Sabina Teller Ratner comments that the Caprice "exploits the wonderful hues and nuances of the woodwind palette: both the expressive and the mournful are interspersed with sparkling passages for the piano.

The mood, texture, and choice of register are constantly changing as Saint-Saëns shifts the focus around the wind instruments and the piano.

It catches precisely the luxurious spirit of the Russian court that was so sympathetic to French culture – an "enchanted world" of "snow and gilt" so brilliantly evoked by Sacheverell Sitwell.