Grand Duchess Olga and her husband Nicholas Kulikovsky refused to leave Russia at that time. Instead, they decided to head for the Kuban, then still free of Bolsheviks, to the large Cossack village of Novominskaya, where Timofei Ksyenofontovich Yatchik, bodyguard of Empress Maria Feodorovna, was from. They wanted to rent a farm there and live among the relatives of this honest Cossack. Gury, their second son, was born in the spring of 1919 in Novominskaya. He was named in honour of one of the Panayev brothers, Boris, Gury and Leo, heroes of the First World War who had fallen in the battlefields early in 1914 while serving in the Akhtyrsky Regiment.
It should be kept in mind that the Emperor and his family, as well as Grand Duke Michael and seventeen other members of the Romanoff family were savagely murdered, leaving only Grand Duchess Olga as the sole survivor of the imperial family in all of Russia. She was very popular among the simple Russian people, since word had spread throughout the country about her initiatives in organizing hospitals and schools at Olgino, as well as her genuine care for the wounded soldiers and the sacrifices she made while working in the hospitals on the front during the war. The idea naturally arose to proclaim her Empress and was widely supported in the monarchist circles of the White Army. The fact that she was married to a "mere mortal" was considered a positive factor by Senator Count Geiden, in light of the democratic trends stirred up by the revolution. It stands to reason, however, that the very modest Grand Duchess Olga shunned this kind of ambition and declined the offer outright.
With Red Army units fast approaching Novominskaya, Grand Duchess Olga, together with her husband and sons, had to set out on what was to be their last journey across Russia. Upon reaching Rostov-on-the-Don, they took refuge with Thomas Nikolaevich Schutte, the Danish Consul, who informed the Grand Duchess that Empress Maria Feodorovna had already safely reached Denmark.
After their evacuation to the Island of Prinkipo in the Dardanelles, Olga and her family made their way to Belgrade, capital of the Kingdom of the Serbs, Croats and Slovenians (Yugoslavia), which had been considerably destroyed during the war. At the hotel where Grand Duchess Olga was staying with her family, she received a visit from Regent Alexander Karageorgevich (later to become King Alexander I), who suggested she settle permanently on one of the royal estates located on former Austro-Hungarian territory. However, Empress Maria Feodorovna summoned her daughter to her estate in Denmark where the Grand Duchess lived until her mother died in 1928.
After this sad event, the family of the Grand Duchess acquired a farm equipped with a comfortable house, located some seventeen kilometres from Copenhagen. It became the centre of the Russian monarchist community in Denmark. Here, Grand Duchess Olga managed to remain in touch with the world she had left behind, maintaining extensive correspondence with her old friends, officers of the Equipage of the Guard, escorts, cuirassiers, Akhtyrsky Hussars, Rifles of the Imperial Family and many others. At this time, her artistic talent was appreciated for its true worth. She displayed paintings not only in Denmark, but also in Paris, London and Berlin. A considerable portion of the money she earned from the sale of her pictures was donated to charity.
The Grand Duchess took a great interest in decorating porcelain. Famous Copenhagen porcelain factories would send her, in particular, state purchases such as cups, plates and other types of china which she would paint. These articles would then be fired in a special oven. These items not only decorated her family home, but were also sold at charity bazaars and auctions. The icons she painted were never for sale, however. She would invariably give them away in Christ's name.
The peaceful, prosperous life the family experienced in Denmark came to an abrupt end on April 9, 1940, when the country was invaded by Germany. During the five-year occupation, Grand Duchess Olga continued to help exiled Russians who found themselves in need. Despite the restrictions of ration cards and the danger of conflict with the invaders, some supplies were passed on to famished prisoners through the camp's barbed wire.