From August 1996 to May 1998, he was the Deputy Head of the Administration of the Petrogradsky District of the City Hall of St. Petersburg.

From 2000 to 2001, Volkov was the head of the Office for Work with Authorities of the Subjects of Russia of the North-Western Federal District.

On 25 April 2001, Volkov was the representative of the executive authority of the Komi Republic in the Federation Council.

On 31 January 2002, he was a member of the Federation Council from the executive authority of the Nenets Autonomous Okrug.

From 21 September 2015 to 22 January 2020, Volkov was a member of the Federation Council from the executive authority of the Kaluga Oblast.