Complex sentence: Sergei Mikhailovich returned to Petrograd at the beginning of June 1917, he remained in the former Imperial capital during the period of the constitutional government, living with his brother Nicholas Mikhailovich in the New Michaelovsky Palace.
Split into simpler sentences: Sergei Mikhailovich returned to Petrograd at the beginning of June 1917. He remained in the former Imperial capital during the period of the constitutional government, living with his brother Nicholas Mikhailovich in the New Michaelovsky Palace.