Here are a few anecdotes from Six Years at the Russian Court:
"One day they [Olga and Tatiana] made a house with chairs at one end of the nursery and shut out poor Marie, telling her she might be the footman, but that she should stay outside. [...] She suddenly dashed across the room, rushed into the house, dealt each sister a slap in the face, and ran into the next room, coming back dressed in a doll's cloak and hat, and with her hands full of small toys. 'I won't be a footman, I'll be the kind, good aunt, who brings presents,' she said. She then distributed her gifts, kissed her "nieces," and sat down. The other children looked shamefacedly from one to the other, and then Tatiana said, 'We were too cruel to poor little Marie, and she really couldn't help beating us.' They had learned their lesson - from that hour they respected her rights in the family."
"One day the little Grand Duchess Marie was looking out of the window at a regiment of soldiers marching past, and exclaimed, 'Oh! I love these dear soldiers; I should like to kiss them all!' I said, 'Marie, nice little girls don't kiss soldiers.' She made no remark. A few days afterwards we had a children's party, and the Grand Duke Constantine's children were amongst the guests. One of them, having reached twelve years of age, had been put into the Corps de Cadets, and came in his uniform. He wanted to kiss his little cousin Marie, but she put her hand over her mouth and drew back from the proffered embrace. 'Go away, soldier,' said she, with great dignity. 'I don't kiss soldiers.' The boy was greatly delighted at being taken for a real soldier, and not a little amused at the same time."
"On our return to Tsarskoe Selo the Empress manifested symptoms of whooping cough. It speedily spread to the nurseries and the four children. [...] I told the children they were to be most careful not to cough on anyone, or that person might take the disease from them, and they were very obedient. One day the little Grand Duchess Anastasie was sitting in my lap, coughing and choking away, when the Grand Duchess Marie came to her and putting her face close up to her said, 'Baby, darling, cough on me.' Greatly amazed, I asked her what she meant, and the dear child said, 'I am so sorry to see my dear little sister so ill, and I thought if I could take it from her she would be better.'"
