In spring 2002, Volchkova switched coaches from Kudriavtsev in Moscow to Oleg Vasiliev in Chicago. After a bronze medal at the 2002 Skate Canada International, she won gold at the 2002 Cup of Russia and qualified for the Grand Prix Final, where she was awarded bronze. In December, Volchkova withdrew from the 2003 Russian Championships and missed three weeks of training as a result of pneumonia. In January, she placed eighth at the 2003 European Championships but achieved the best World result of her career, fifth, in March at the 2003 World Championships in Washington, D.C.