Yes, the doomed Empress of Russia, Alexandra Feodorovna, who died when the Romanov family was massacred in 1918, was Queen Victoria’s favorite granddaughter. But the unique relationship between the British Royals and the Romanovs—and Britain and Russia—goes back 300 years. Beginning in 1698, with Peter the Great’s visit to London, the exhibition consists of paintings, portraits, decorative arts, jewelry, costume, photographs, and archival documents, not to mention wonders from Fabergé. —L.J.