I'm taking an online Russian course at my university, so I have been really interested in Russian history and culture lately. 

I did some online shopping and bought these books: 

Between shades of gray by Sepetys, Ruta

Sekret by Smith, Lindsay (set in Russia but the author is American)

Gentleman in Moscow by Towles, Amor

The Stone Bridge by Terekhov, Alexander

Have you read any of them? Do you know any other good books focused on Russian culture?

I've read Notes from the Underground by Fyodor Dostoyevsky. I found it a bit dry to be honest. But it is a Russian classic with great philosophical insight.