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Lazarillo de Tormes, published simultaneously in Alcalá de Henares, Burgos and Antwerp in 1554, is generally considered the first picaresque novel. The Wikipedia article about the picaresque novel contains a section about its sources, which says,

The curious presence of Russian loanwords in the text of the Lazarillo also suggests the influence of medieval Slavic tales of tricksters, thieves, itinerant prostitutes, and brigands, who were common figures in the impoverished areas bordering on Germany to the west.

The section about the genre's history also says,

The Twelve Chairs (1928) and its sequel, The Little Golden Calf (1931), by Ilya Ilf and Yevgeni Petrov became classics of 20th-century Russian satire and the basis for numerous film adaptations.

Are these then the first Russian picaresque novels? Or are there earlier ones, inspired by stories about Slavic tales of tricksters, as mentioned in the first quote?

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I think I have found the answer and it confirms the existing answer:

While disagreeing on the exact significance of [Mikhail Chulkov's] The Comely Cook, scholars generally do acknowledge its landmark status. Brown considers it the first Russian picaresque (18th Century 544-5), and Garrard views it not only as the first autobiographical novel in Russian literature (Čulkov 143) but also as the first modern Russian novel of any type (Čulkov 118). (...) The Comely Cook is a thoroughgoing, unrelenting parody of the literary practice of its day.

Source: Three Russian Tales of the Eighteenth Century: The Comely Cook, Vanka Kain, and "Poor Liza" by Mikhail Chulkov, Matvei Komarov and Nikolai Karamzin, edited by David W. Gasperetti. Cornell University Press, 2012.

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Mikhail Chulkov's The Comely Cook, or the Adventures of a Debauched Woman (1770) is "hypothesised" to be the first Russian picaresque novel, by Caryl Emerson.

  • The Cambridge Introduction to Russian Literature

While "the first picaresque translated into Russian was Gil Blas in 1754" Olga Markof-Belaeff.

These were just through google, and I am not familiar with the form, but it's as good an answer as you'll get.

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    Can you quote or cite the source where Caryl Emerson said this?
    – Rand al'Thor
    Dec 7, 2021 at 21:03

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