Walking around this fascinating new exhibition in the Queens Gallery in Edinburgh, the instant dichotomy of Russian imperial art is immediate – it's either outlandishly big and wrapped in a fabulously opulent gilt frame or very, very small, and jaw-droppingly crafted. The magnificence of the Russian Imperial age dazzled even other monarchs. As Queen Victoria put it, in her diary of 1844, when Emperor Nicholas I visited England, “It seemed to me like a dream when I reflected upon it, that we should be walking about with, and breakfasting with, the Emperor of Russian, the Grest of all earthly monarchs.”

Visits between monarchs of the two countries were historically rare – amongst these, the visit in 1698 of Peter the Great, who spent three months incognito in lodgings in London as plain Peter Mikhailov (although probably not that plain and not that incognito at 6'8”), the first time a Russian ruler had left Russia. Other visits included that of Tsar Nicholas II and his wife Alexandra (Queen Victoria's granddaughter) to Balmoral in 1896 to show Queen Victoria her new great-granddaughter. In 1908, Edward VII became the first reigning British monarch to visit Russia, albeit meeting his Romanov relatives at sea, bobbing around off the coast of Russia for three days. Much is recorded here in portrait, in tableaux, in photographs, a fascinating tale of Russian art and diplomatic relations with between the imperial dynasty and our own royal house. This was an age when every portrait told a story – some rather better than others – and when every gift of a nephrite or rhodonite casket or paperweight told of the riches buried in the ground beneath Russia's vast expanse.

The exhibition is co-curated by Royal Collection curators Caroline de Guitaut and Stephen Patterson, but it is Patterson who shows me round a week before the show opens, picking our way through newly arrived portraits and objects d'art, pointing out the places where other objects will take their place. And objects, indeed, for when I look up the two malachite urns that he tells me are on their way, they are vast and a fabulous green, gilded and towering above head height.

There are stories, here, behind many of these formal objects, from portraits of extended family, miniatures of future emperors and empresses, a portrait of Catherine the Great on her coronation day. There are photos of the royal diplomatic visit to Russia in 1908, made entirely at sea between luxurious ships, with not a royal foot set on land. There are Russian religious icons. There are marriage portraits, attesting to the – somewhat rare - marriages between the royal families.

There are a number of portraits or scenes by Larits Regner Tuxen, the painter favoured by both families who both commissioned him to paint the marriage of Nicholas II and Princess Alix of Hess, Victoria's granddaughter. His painting for Victoria is full, Patterson points out, of complex family relationships, the marriage taking place despite the recent death of Nicholas' father, Emperor Alexandre – the entire court was in mourning.

There cannot be mention of the Romanovs, the Russian Royal family, without thought of their brutal deaths by a Bolshevik firing squad on the evening of 16th July 1918, the revolution having occurred after Nicholas IIs incompetence as ruler, both domestically and militarily. There is a letter here from George V, whose government had both extended then withdrawn an offer of asylum to the beleaguered Romanovs, that notes his horror at the death of his cousin, Tsar Nicolas, a man with whom - as photos here attest - he bore a strong family resemblance.

There are photographs, too, by James Mack, some of the earliest photographs taken by a British person in Russia. They include what may be the earliest photo of Russian peasantry, serfs cutting hay in the Peterhof. His image of the church of St. Nicholas in Moscow is distinguished for its startling composition which includes the somewhat surprising juxtaposition of what appears to be a Scot in full Highland dress standing amongst two Russian loggers, balanced on logs in the Movska River.

If I had to take one thing home – unlikely given that my family ancestry runs more towards those making hay in the Peterhof meadows than their royal overlords - it would be the tiny elephant automaton, traced by co-curator Caroline de Guitaut as the “surprise” inside the 1892 diamond trellis egg, given to the Empress Maria Feodorovna, subsequently sold off by the Soviet regime, then bought from a collector in London by George V, whence it found its way into the royal collection. An automaton, it can be wound up and walks along on its ivory and gold legs, its head moving up and down, its tail – long gone – once swishing from side to side. It is miniature, ingenious and the very essence of what we think of as Russian royal art.

Russia: Art, Royalty and the Romanovs, The Queens Gallery, Palace of Holyroodhouse, Canongate, The Royal Mile, Edinburgh. www.rct.uk Until 3 Nov, Daily 9.30am - 6pm, Admission £7.50/£3.60/concessions available