The Soviets, having opened a stable gate to the Upside Down with experimental technology on June 28, 1985, apparently used the gate to extract various 'Demogorgon' specimens; somehow, the Soviets also captured a mass of silver-black particles (a portion of the Mind Flayer).
It showed Hopper discovering more dark experiments in the Russian base, including a captive, shadowy cloud, which has to be a part of the Mind Flayer. Maybe the Flayer was also captured before Season 3, and that's why the Demogorgon could survive -- because it was still connected to a part of its overlord.
A separate piece of the Mind Flayer was captured by Soviets and stored at a prison camp in Kamchatka; it was presumably extracted via the Soviets' gate to the Upside Down at their base under Starcourt Mall.
How did the Russians know about the Upside Down? Was their discovery accidental? Based on the show's timeline, the Russian scientists had a version of their machine built by about seven months after Eleven accidentally opened the Gate inside Hawkins National Lab (HNL).
After the emotional Season 3 finale, Hopper is taken by Russian soldiers after surviving the explosion at the Russian Gate to the Upside Down beneath the Starcourt Mall. Believing he is an American spy, the Russians torture him to try to get more information. He is beat up, hosed down by water, and more.
In Russia, guards take a prisoner (not the American one) straight to a cage with the Demogorgon. While there's no definitive answer, it looks like the Russians, after managing to obliterate Starcourt Mall in the States, wanted to learn more about controlling and managing the monster by setting up shop in Hawkins.
Stranger Things season 3 revealed that the Russians had been operating in an underground lab in Hawkins, and the mid-credits scene in the season finale showed that they are also experimenting on the Upside Down on the other side of the world.
Toward the end of Hopper's captivity, during which he befriends his prison guard (played by "Game of Thrones" actor Tom Wlaschiha), it's revealed that the Russians have been keeping a Demogorgon hostage and feeding it unruly prisoners.
It seems increasingly likely that Vecna created the monsters of the Upside Down as nightmare fuel for his plan to bring fear to his victims. If he did create the creatures as a way to grow his own power, Vecna's connection to all of the monsters in the Upside Down could hint at a way to make sure it falls.
It's safe to presume the reason the Russians are continuing their Upside Down experiments in Hawkins is because of the town's tragic hotbed of interdimensional activity. Eleven might have sealed the gateway between the two worlds last season, but it's ostensibly easier to access closer to the source.
The first victim was Billy Hargrove, followed by Doris Driscoll and other unconscious victims that were kidnapped and brought by him to the basement of the Steel Works.
It's probably safer to say that Billy was chosen as the Mind Flayer's first victim because of his fragile state of mind. He was constantly angry, overwhelmed by his abusive father, and became abusive himself in return.
Among the species, there are three significant members; the Hawkins Demogorgon, D'Artagnan and the Russian Demogorgon. Adoscelent Demogorgons who haven't reached adulthood are known as Demodogs, a term coined by Dustin Henderson due to them basically being Demogorgons whose behavior resemble that of dogs.
But after Joyce and Murray break in to break Hopper out, the trio plus Enzo/Dmitri learn that the truth is far more sinister: the Russians have been breeding and potentially modifying Demogorgons in the depths of the prison, and have essentially bottled what Joyce calls “particles" from the Upside Down.
The friends and family of Will Byers, one of the Demogorgon's victims, slowly began to uncover the truth about the creature, with the help of the escaped Eleven. The creature was finally defeated in a showdown with Eleven at Hawkins Middle School.
The lack of Demogorgons in the Upside Down, particularly in Stranger Things season 4's finale, is actually likely due to the episode's pacing. There is a lot going on in the season 4 finale and the creators have to keep the many conflicts entertaining and distinguishable.
Vecna, unlike the other creatures, is a human who has mutated into a monster from overexposure to the Upside Down. He's been subjected to the toxic environment for around 20 years and has become a part of it.
The Upside Down is first expected to be exposed to the real world in 1979, during Eleven's fight with One/Henry Creel in the Rainbow Room of the Hwakins Laboratory when Eleven unintentionally opened the gate while overpowering One, sending him to the dark world, where One became Vecna.
In a fit of rage, Henry used his restored powers to brutally murder the other test subjects and workers, and attempted to do the same to Eleven. However, Eleven stood her ground and ultimately overpowered him, sending him through a gate to the Upside Down; there, he gradually transformed into the being known as Vecna.
In terms of fully grown Demogorgons that were established in Stranger Things season 1, the Russians only have one.
Eleven holds the power to defeat the monster using her telekinesis powers, but she is also part of the reason it landed in Hawkins in the first place. There are multiple Demogorgons, and they can be trained to become stronger and even more murderous, which viewers see the Russians doing in season 4.
The Soviets, having opened a stable gate to the Upside Down with experimental technology on June 28, 1985, apparently used the gate to extract various 'Demogorgon' specimens; somehow, the Soviets also captured a mass of silver-black particles (a portion of the Mind Flayer).
Robin laughs at the absurdity of the situation, reminiscing about how she shared a history class and was obsessed with Steve, and he was not even aware that she existed. The Russians arrive with a doctor, Zharkov, who injects them with a truth serum.
When police Chief Jim Hopper and Joyce Byers discovered there were Russians in Hawkins, Grigori was assigned to hunt down and kill them. He was portrayed by Andrey Ivchenko, who also played Perseus in Call of Duty: Black Ops Cold War via motion capture.