He established the very first public theater in Yaroslavl in 1750, which would later bring fame to the then-unknown actors Ivan Dmitrievsky, Yakov Shumsky and others.

Two years later, Fyodor Volkov and his theater were invited by Empress Elizabeth to perform at her court, but it would soon be dismissed due to its "plebeian" nature.

In 1756, the empress issued a decree on the establishment of the first permanent public theatre in St.Petersburg under the guidance of Alexander Sumarokov.

As an actor, Fyodor Volkov mostly played tragic roles, such as the ones in Sumarokov's plays Khorev (Хорев), The Refuge of Virtue (Прибежище добродетели), Gamlet (Гамлет; Sumarokov's version of Shakespeare's Hamlet), Semira (Семира), Sinav and Truvor (Синав и Трувор), Yaropolk and Demiza (Ярополк и Демиза).

Having mastered the art of stage acting, Volkov often deviated from esthetic canons of classicism and chose not to follow the universally accepted rules of solemn recitation.