Alexei was born on 12 August 1904 (30 July, O.S.) in Peterhof. He was the youngest of five children, and the only boy. His older sisters were the Grand Duchesses Olga, Tatiana, Maria and Anastasia. He was doted on by his parents and sisters and known as "Baby" in the family. He was later also affectionately referred to as Alyosha (Алёша) and Lyoshka (Лёшка).