Volchkova's parents heard an announcement about figure skating lessons on the radio and took their daughter to the ice rink in St. Petersburg. Later Volchkova decided to move to Moscow, because she wanted to be coached by Viktor Kudriavtsev. After several changes of coaches, Volchkova is coached by Marina Kudriavtseva, the wife of her former long-time coach Kudriavtsev since Russian Nationals 2004. Volchkova broke her wrist in a fall in practice in December 2004 and as a result missed the 2005 National Championships. She underwent meniscus surgery in September 2005 and returned to competition only for the 2006 National Championships. Volchkova is the first lady to win four consecutive bronze medals at Europeans (1999-2002).