The Basics.
The Cyrillic script is a writing system used across Eurasia, particularly in Eastern Europe, the Caucasus, Central Asia, and North Asia. Cyrillic is the third official script of the European Union 
, following Latin and Greek.
Circa 863: brothers Cyril
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and Methodius 
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create Glagolitic Alphabet 
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that will later be the basis for Cyrillic script.
9th century: Early Cyrillic 
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alphabet develops in Bulgarian Empire.
9th-17th century: Cyrillic develops in form, into a writing system called 'Ustav'
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then into the one called 'Poluustav' 
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. Letters evolve within the same system and are based on handwriting.
Early 18th century: Peter the Great 
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in his attempts to make Russia great again after returning from the Netherlands, heavily reforms the Cyrillic script. He redesignes it and calls the new alphabet the Civil Script 
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. The new letterforms become closer to those of the Latin alphabet; several archaic letters are removed 
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and several letters are personally designed by Peter (such as Я, which was inspired by the Latin R). Western European typographic culture is getting adopted.
Unlike Latin script that was already flourishing during the times of Aldus Manutius and Garamond, modern Cyrillic is extremely young. Latin script relies on thousands years of history, on millions of lettershapes that have been tried and tested over time, and on each new typographic invention that was reflected in evolving letterforms. Cyrillic only has the past 300 years of trial and error to look back on, and is still very much work in progress, which is importrant to keep in mind if you get into Cyrillic type design.
It’s pretty hard to create something new designing latin alphabet, but Cyrillics are still open for exploration since there are some letterforms that are not yet set and solidified.
So that’s good news, but there are also some depressing truths to face before you start designing Cyrillics. Be prepared that no matter what you do, it most likely won’t look great, just because Cyrillic alphabet consists of boring, sad, and similar to each other glyphs. You can design an amazing typeface, but its latin counterpart (also designed by you) will by default be graphically superior to its cyrillic brother.
Why is that?
In 26 out of 33 cases, lowercase is the exact copy of the uppercase. Because of this, cyrillic lowercase strings tend to look like secondary elements in a line of text. Latin lowercase letters we’re used to have nearly the same proportions and scale as the uppercase, and quite a few of them have ascenders that lift up visual height of a text line. Cyrillic lowercase don’t, they just look like a squished uppercase line of text and form thick colour.
Also, Latin lowercase doesnt have the “middle shelf” that visually cuts the already squished Cyrillic line in two. (examples). The multitude of small, closed up counters in cyrillic letterforms emphasize the different scale of type cases, and that makes cyrillic letters look smaller than their latin counterpart.
Cyrillic system doesnt come directly from latin. So even if we want it to match the Latin graphics, we can still find multiple ways of representing the script, based on Peter’s Civil font. That’s what constructivists did, and their Russian stick letters became world famous. Could it be that the beauty of Cirillic glyphs is in their rudeness and instead of trying to brush the letters down to conform with Latin, they should be pushed in the opposite direction? Who knows. The brilliance of Cyrillic is that it’s still partially open for interpretation - so have fun with it.
Upper and lowercase
Аa (A)
Бб (B)
Вв (V)
Гг (G)
Дд (D)
Ее (E)
Ёё (Yo)
Жж (Zh)
Зз (Z)
Ии (I)
Йй (Yi)
Кк (K)
Лл (L)
Мм (M)
Нн (N)
Оо (O)
Пп (P)
Рр (R)
Сс (S)
Тт (T)
Уу (U)
Фф (F)
Хх (Kh)
Цц (Ts)
Чч (Ch)
Шш (Sh)
Щщ (Shch)
Ьь (')
Ъъ (-)
Ыы (Y)
Ээ (E)
Юю (Yu)
Яя (Ya)