The murder of Rasputin has become legend, some of it invented by the very men who killed him, so that it becomes difficult to discern exactly what happened. However, it is generally agreed that on December 16, 1916, having decided that Rasputin's influence over the tsarina made him too dangerous to the empire, a group of nobles led by Prince Felix Yusupov, and the Grand Duke Dmitri Pavlovich (one of the few Romanov family members to escape the annihilation of the family) apparently lured Rasputin to the Yusupovs' Moika Palace, where they served him cakes and red wine laced with a large amount of cyanide. According to the legend, Rasputin was not affected, although there was enough poison to kill ten men. Maria Rasputin's account says that if her father ate poison, it was not in the cakes or wine, because after the attack by Guseva, he had hyperacidity, and avoided anything with sugar. She expressed doubt that he was poisoned at all.

Determined to finish the job — and now we are fully in the realm of narrative legend — Yusupov worried that Rasputin would live until morning, so that the conspirators wouldn't have time to conceal his body. He ran upstairs to consult with the others, then came back down and shot Rasputin through the back with a revolver. Rasputin fell. The company then left the palace for a while. Yusupov, who had left without a coat, decided to return to grab one. While at the palace he went to check on the body, Rasputin opened his eyes, grabbed Felix by the throat, strangling him. Rasputin ominously whispered "you bad boy" in Yusupov's ear, and then threw him across the room and escaped. As he made his bid for freedom, the rest of the conspirators arrived and fired at him. After being hit three times in the back, he fell. As they neared his body, they found he remarkably was still struggling and trying to get up so they clubbed him into submission; then, after wrapping his body in a sheet, they threw him into the icy Neva River. Three days later the body of Rasputin — poisoned, shot four times, and badly beaten — was recovered from the river and autopsied. The cause of death was drowning. His arms were apparently found in an upright position, as if he had tried to claw his way out from under the ice. In the autopsy, it was found that he was poisoned, and that the poison alone should have killed him.

Subsequently, the Empress Alexandra buried Rasputin's body in the grounds of Tsarskoye Selo. After the February Revolution, a group of workers from Saint Petersburg uncovered Rasputin's body, carried it into a nearby wood and burned it.