The festival takes place on the eve of the Russian 'Old New Year' - a celebration of the New Year according to the pre-Revolutionary calendar.
Bands and singers from Russia, including Garik Sukachov's rock band, pop singer Dima Bilan, folk group Kazachya Dusha (Cossack's Soul), a chorus of St. Daniel's Monastery in Moscow and many others are participating in the festival, which its organizers plan to make an annual event.
The festival opened with a performance by Russian children studying in London with circus performers and folk groups appearing on the stage after them.
Guests are being treated to traditional Russian dishes. They can buy Russian souvenirs, as well as watch craftsmen in the process of making them.
The Russian organizers have sought to use the event to promote the country's bid for the 2014 Winter Olympics. Visitors can see some of Russia's leading athletes, including gymnast Svetlana Khorkina and figure skaters Irina Slutskaya and Yevgeny Plyushchenko, the stars of last year's Olympics in Torino.
The event, organized by the Eventica company, the Russian-British Culture Association, the Moscow and London City Halls and RIA Novosti as the main information sponsor, is expected to gather at least 70,000 this year - both Russians studying, working or living in the British capital and Britons.
The first Russian Winter Festival on Trafalgar Square gathered more than 50,000 people on January 15, 2005. Last year, the organizers said around 75,000 people visited the event.