Oleg was laid down at the Admiralty Shipyards at St. Petersburg on 6 July 1902, launched on 14 August 1903 and commissioned into the Russian Baltic Fleet on 24 June 1904.

During the battle, Oleg was damaged, but managed to escape and, together with the cruisers Aurora and Zhemchug reached the protection of the neutral port of Manila, where she was interned to the end of the war.

Mines laid by Oleg are credited with sinking the German light cruiser SMS Augsburg off Bornholm.

On 2 July 1915, Oleg participated in the Battle of Åland Islands during which she assisted in driving the German light cruiser SMS Albatross onto the beach.

In June 1916, the Russian Baltic Fleet launched a major offensive against German convoys off the Swedish cost, near Gotland.