Around the late 1880s he started a celebrated affair with the Duchess of Leuchtenberg, the morganatic wife of one of his cousins Eugène von Leuchtenberg. Born Zinaida Skobelyeva, "Zina" was a strikingly beautiful woman who had married Eugeni of Leuchtenberg as his second wife in 1870. Alexander II made her Countess de Beauharnais and Alexander III raised her to Serene Highness and Duchess of Leuchtenberg. Alexei was so besotted with her that he conducted an affair openly, under her husband's roof and in his full knowledge. Eugene Leuchtenberg initially resented that Alexei cuckolded him. One night, Leuchtenberg arrived home late and found his wife's room locked. He knocked on the door and insisted that she let him in, and Alexei opened the door kicked him downstairs. Later that day, Leuchtenberg complained to Alexander III of Russia, who told him that if he was incapable of managing his wife himself he could not expect others to help him. From that day forward, Leuchtenberg slept in his study and apparently accepted the situation. He drank away most of his fortune, and for years he and Zinaida lived off his cousin's generosity. Even after his wife's death in 1899 the Duke continued to live under Alexei's roof.