The newly crowned Emperor Nicholas II and Empress Alexandra Feodorovna stayed at Balmoral Castle between 22 September and 3 October 1896. Queen Victoria records their arrival in her Journal: 'Punctually at 8, the procession reached the door. The escort of Scots Greys came first, then the pipers & torch bearers, & finally the carriage containing Nicky, Alicky, Bertie & Arthur. I was standing at the door, & Nicky, got out first, whom I embraced, & then darling Alicky, all in white, looking so well, whom I likewise embraced most tenderly. She went round & shook hands with everybody who was standing in the Hall. A very smart Cossack had previously arrived & was at the door.'

This opening of an album compiled by Prince Arthur contains photographs by Robert Milne (1865–1952) showing some moments captured during their visit, including the Royal Scots Greys in their role of Imperial escort, Nicholas II wearing his uniform of Colonel-in-Chief of the regiment, the 'smart Cossack' mentioned by the Queen, the Highlanders, and a group photograph taken on the grounds of the castle. The latter shows standing (from left to right): Prince Arthur, his daughter, Princess Patricia of Connaught, the Prince of Wales, Prince Carl of Denmark, the Duchess of Connaught, Princess Helena Victoria of Schleswig-Holstein, Princess Victoria of Wales, Tsar Nicholas II and Princess Margaret of Connaught; and, sitting in front (from left to right): the Princess of Wales, Tsarina Alexandra Feodorovna, Princesses Louise and Maud of Wales.