The southernmost residents of Russia felt the yoke particularly hard, and hundreds of these subjects of the Tsar found themselves as slaves to the Khan of Khiva. The Russian government, for its part, saw Khiva as both a persistent thorn, but also as a potential strategic acquisition.
As early 1717, well before the proper start of the Great Game, the Russians tried to command Khiva's friendship with a force of several thousand Cossack cavalry. They arrived with a hearty welcome from the Khan, who expressed a sincere desire to house and feed the weary Russian troops. They were divided into several small groups, sent to surrounding villages to rest, and then promptly slaughtered.
The Russians tried again in 1824, this time with a better equipped and far larger force -- so large that it was too slow to get through the mountain passes in time and suffered great losses before having to turn back several hundred miles from Khiva.
By this time the Great Game was in full swing, and the British were well aware the Russians wouldn't give up until they had Khiva securely in their grips. The premise for the Tsar was the large population of Russian slaves living within the Khan of Khiva's domains. The British realizing this, decided the thing to do was to convince the Khan to release his slaves, making it much harder for the Russians to make this advance.
The British government in India dispatched a series of officers on the highly dangerous mission to Khiva to convince the Khan to simply give up his Russian slaves. One officer, named Shakespear, made it through, and being a linguist and a master of Oriental courts, was able to charm the Khan roundly. Peter Hopkirk, in his book the Great Game, recounts the Khan asking young Shakespear about England. Is it true that the ruler is a woman? (It was Victoria.) Are all her ministers also women? How many guns does she have? When being told that she had too many to count, the Khan replied proudly "I have twenty!" assumably proud both of his arsenals and his counting skills.
The slaves were released (though it should be noted that since this was before the serf emancipation in Russia, they were probably released to go back into slavery of a different sort), and Khiva remained independent for some time, but only until the Russian General Kaufmann, commander of the Russian fortress at Orenberg on the Caspian Sea came on the scene. Kaufmann, who was probably partially mad, was a master of the fait-accompli -- one by one the Khanates of Central Asia fell to his armies:Bokhara, Khokand, and then Khiva. At each one the Brits protested, but did nothing -- the Tsar expressed outrage at these unauthorised actions of the renegade Kaufman, but quietly sent emissaries and traders to solidify the new additions to his empire.

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