What are they wearing over their shoulders?

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This is a greatcoat. "шинель" in Russian. This way of carrying a greatcoat is called in Russian "скатка", which approximately means "a roll". It was standard in Russian and Soviet army, and I wore my greatcoat myself in this way in the 1970s. There was no such thing as a blanket in the standard Russian military equipment: the greatcoat also served as a blanket.

Remarks. The Tsar wears it in somewhat unusual way. The standard way is shown in the second figure. You roll it into a cylindrical "sausage", as tightly as possible, and then tie the ends to make a ring, with the special little belt which is called ""тренчик". Officers would control the tightness of the roll. We were explained that we can hit an enemy with this roll, as with a club, if nothing else remains:-)

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That's a blanket roll. I doubt very much if the czar ever opened or folded one himself. In some armies the blanket roll was worn over the shoulder, as the czar does here.

Other armies and in later periods the blanket roll was worn over the backpack. The photo shows a WW1 German backpack with blanket roll.

The roll contains a tarpaulin cover with a blanket inside. It can also be single piece, as Lars Borsteen suggested. A greatcoat folded takes up less space than a tarpaulin with a blanket.

German Army WO1 backpack with blanket roll

source: I've worn it myself, in British/US style, while serving in the Dutch army. We called it a 'berenlul' or bear's dick. Our tarpaulin was a cape (or shelter half) that could be used as one half of a pup tent.

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