Milica and her sister, Anastasia, were invited by Alexander III of Russia to be educated at the Russian Smolny Institute, which was a school for "noble maids".

[1] Grand Duke Peter Nikolaevich of Russia and Princess Milica were married on 26 July 1889 in Saint Petersburg.

He was younger son of Grand Duke Nicholas Nikolaevich the Elder and his wife and cousin, Duchess Alexandra of Oldenburg.

Nicknamed jointly "The Black Peril”, “The Crows”, and “The Cockroaches” the sisters were both observant Russian Orthodox Christians and deeply interested in the occult.

[citation needed] Grand Duke Peter Nikolaevich of Russia and Princess Milica were married on 26 July 1889 in Saint Petersburg.