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On the assassination of her husband in 1913, she returned to Russia. When the First World War broke out, she set up a military hospital in Pavlovsk Palace, which belonged to her brother. She was trapped in the palace after the Russian Revolution of 1917, until the Danish embassy intervened, allowing her to escape to Switzerland. Olga could not return to Greece as her son, King Constantine I, had been deposed. In October 1920, she returned to Athens on the fatal illness of her grandson, King Alexander. After his death, she was appointed regent until the restoration of Constantine I the following month. After the defeat of the Greeks in the Greco-Turkish War of 1919-22 the Greek royal family were again exiled and she spent the last years of her life in the United Kingdom, France and Italy.