I think that they were all tought to paint when younger - by well known artists from what I have read - It was a skill expected of young, aristocratic ladies in the period. However only Ella and Empress Marie and Olga Alexandrovna seem to have carried on lessons into adulthood. You sometimes see paintings they have done and they are very good and a credit to their teachers.
When Marie came to Russia in 1866, one of the leading Russian artists of that time, Alexei Bogolyubov, was invited to become her private tutor. A master of battle scenes and seascapes, Bogolyubov made an important contribution to the development of Impressionism and plein-air painting in Russia. But he did not teach Marie Feodorovna painting, perspective or plein-air in the same way that he taught these disciplines at the Imperial Academy of Arts in St Petersburg in the 1860s (or, later, in Paris in the early 1870s). He simply curated the grand duchess's independent drawing and painting activities, confining his instructions to friendly words and advice. Such guidance and hints were also given by Bogolyubov to Alexander III, who similarly enjoyed drawing and painting. Marie was an accomplished artist in her own right before she came to Russia.
Works by Marie are scattered over a few museums in Russia. The Museum of Fine Arts of the Republic of Karelia owns two small still-lifes (1868, 1869, one is reproduced below from page 19 of this thread) and one watercolour of a miser (1890), which were all shown at the
Princess Dagmar - Empress Marie Feodorovna exhibition, which opened in the Royal Silver Room of Christiansborg Palace in Copenhagen in September 1997.
These works were acquired by the Museum of Fine Arts of the Republic of Karelia in 1960. Before then, they had belonged to the Karelian Museum of Local Studies. Their provenance can be traced back to the Leningrad State Museum Fund, to whom they belonged until 1928. The State Museum Fund acquired them from the Anichkov Palace after the revolution.
Interestingly, in the inventories of the Karelian Museum of Local Studies dating from the 1930s, the stretchers of the two still-lifes are described as having labels inscribed "City Museum. Historical Premises of the Anichkov Palace." This suggests that they were good enough to have been exhibited in the 1920s at the Leningrad City Museum.
Several other works by the empress have since come to light.
Portrait of Grigory the Coachman (1870) was discovered in the collection of the State Russian Museum in St Petersburg. Some fifty drawings and watercolours dating from the late 1850s and early 1860s belong to the State Archive of the Russian Federation in Moscow.
Painting made by Maria .1868