The games come a little over two months after the side, owned by Russian tycoon Roman Abramovich, lost in the Russian capital to Manchester United in the Champions League final.
Chelsea face Lokomotiv at 9:15 p.m. (17:15 GMT). The match is part of the annual Russian Railways Cup. Italy's AC Milan and the Spanish side Sevilla will also take part, facing each other in the other semifinal immediately beforehand. Russian Railways are Lokomotiv's main sponsors.
The two semifinals will take place at Lokomotiv's Cherkizovo stadium in the northeast of Moscow. The final and the match for 3rd and 4th place are both on August 3 at the same venue.
Chelsea's chief executive Peter Kenyon earlier told the sports.ru website that the matches would give the club a chance to become closer to their Russian fans. This is the first year that Chelsea have entered the competition.
All the sides have fielded their strongest squads, although Chelsea's Didier Drogba and Milan's Ronaldo will miss the tournament due to injury.
Chelsea lost on penalties to Manchester United in the Champions League final, played at Moscow's Luzhniki stadium on May 21, after the game had ended 1-1. Their manager, Israeli Avram Grant, was sacked after the defeat.