When: Wednesday, June 15, 14:00 BST
How to watch: BBC One
The pressure is on, especially in their home city of Saint Petersburg.
However, the good news for Stanislav Cherchesov's side is that they do have a perfect record against the Fins.
Since the fall of the Soviet Union, the two nations clashed four times with Russia reigning supreme in all of those encounters.
In fact, current Finland manager, Markku Kanerva, was part of the Finland team which lost 6-0 to the Russians back in 1995. He will be looking to put the record straight at Euro 2020.
Last Three Matches
Finland 0-3 Russia (World Cup Qualifier - June 10, 2009)
Aleksandr Kerzhakov had a field day when Russia took on Finland in Helsinki 12 years ago.
The player bagged two goals - one in the 27th and the other in the 53rd minute - as the Russians cruised to victory.
Konstantin Zyryanov added a third as the visitors secured all three points.
Russia 3-0 Finland (World Cup Qualifier - October 15, 2008)
The Fins endured a nightmare performance when they clashed with Russia in Moscow back in 2008.
Petri Pasanen scored an own goal in the 23rd minute as the hosts took the lead. Then in the second-half, Veli Lampi also put the ball in the back of his own net as Russia's lead doubled.
Andrej Arshavin scored a third in the 88th minute as Russia completed another comprehensive win.
Russia 3-1 Finland (Euro Qualifier - November 13, 1995)
Finland's only goal in this fixture came all the way back in 1995. Nevertheless, it wasn't enough to prevent another heavy defeat.
Just three years on from the collapse of the Soviet Union, the Russians showed their strength when Dmitri Radchenko opened the scoring in the 40th minute.
Finland grabbed an equaliser just before the break through Kim Suominen. However, that was as good as things got for the visitors.
Two second-half strikes from Vasiliy Kulkov and Sergei Kirjakov sealed a comfortable win for the Russians in Moscow.
Last four head-to-heads
Finland wins: 0
Russia wins: 4
Finland goals: 1
Russia goals: 15
Past results mean nothing
Looking back at past victories is all well and good. But in order to succeed, Russia must turn their attention to the present.
This Finland side is a different animal to the one they faced back in the early 2000s and mid-90s. After winning their Euro 2020 opener with Denmark - albeit in controversial circumstances - the Fins will be looking to kick on and seize the moment.
This is Finland's first major tournament and it has certainly got off to a dramatic start. Question is, what sort Russia are we going to see in Saint Petersburg?
It's no secret that the Russians are an ageing side. Captain Artem Dzyuba is 32-years old yet there are still four players in the squad who are older than him.
This certainly showed in the game against Belgium. The Red Devils ran riot and sealed a comfortable victory as Russia were made to chase the ball for the majority of time.
Cherchesov's side should have more time on the ball against Finland and that could make all the difference.
Joel Pohjanpalo scored Finland's winner against Denmark last weekend. It proved to be a historic goal as it was the nation's first in a major tournament.
Nevertheless, our recommendation is to back Teemu Pukki to get amongst the goals at 5/2.
The Norwich City star bagged 10 goals in Finland's qualifying campaign and he could threaten once more.