There's a blurb on the front of The Secret History of Moscow where Neil Gaiman compares this book to his own excellent Neverwhere. In my opinion, it's a pretty good comparison. But while Gaiman has largely created his own mythology to populate his London Below, Sedia's Moscow Underground is the place where gods and legends go when nobody believes in them anymore.
When people start disappearing off the streets of Moscow, the police expect to turn up links to racketeering or Chechen terrorists. What they don't expect is people turning into birds, but that, it seems, is what is happening. Galina, sister of one of the missing, is following her own leads, and discovers through her investigation that there is another world beneath their own, accessible through reflected doors.
She and policeman Yakov join Fyodor, an alcoholic street artist to journey to that world. What they find there is a mix of old pagan gods, fairy tales, heroes of the Russian Revolution, all the lost people of Moscow. They also find a mystery, and danger, and for at least one of them, a home.
What really makes this book work for me is how well Sedia knows Moscow and Russia, both present and past. She knows the mythology and folk tales, the culture and zeitgeist of post-Soviet Russia and she brings that knowledge to her story. I also appreciated the glimpse inside the distinctly different world of Russian myth.
If you like tales where a fantasy world resides within our own, check out Charles de Lint's Memory & Dream. For a different take on one Russian myth, try Deathless by Catherynne M. Valente.