Peter III of Russia briefly ruled the Russian Empire from 5 January to 9 July 1762 and he died shortly after abdicating, probably killed in a plot orchestrated by his wife and successor Catherine the Great.
For years thereafter, rumors circulated in Russia and elsewhere that the Tsar was not actually dead and that he had escaped into exile.
These rumors lead to numerous people claiming to actually be Peter III, such as the ataman Yemelyan Pugachev, who led a rebellion in 1773–1775 in an attempt to depose Catherine and seize power for himself.

At this time, the Prince-Bishopric of Montenegro, though independent, was more or less subjected to the Ottoman Empire.
Because the Ottoman central government was relatively weak, the Montenegrins occasionally fought against the Ottomans.
As a small mountain realm, Montenegro remained one of the few more or less independent Orthodox Christian realms in the Balkans and the Ottomans remained a constant threat to their continued existence.
On the Adriatic coast, Montenegro was also bordered by the Republic of Venice, which was slowly losing its grasp over the region.
Montenegro's situation was made more difficult by common infighting and the ruling Prince-Bishop Sava Petrović's lack of authority.
Sava was not respected among the Montenegrins and did little actual ruling.
Though he had co-ruled with his more respected and competent cousin, Vasilije Petrović, Vasilije died on 10 March 1766, leaving the country more or less leaderless.
There was no real state in Montenegro at the time, with the country rather being more akin to a conglomerate of autonomous and semi-nomadic clans precariously united because of external danger.
Šćepan Mali's subsequent success partly built on the widespread Montenegrin belief and hope for a savior figure.

Šćepan's true identity is unknown, though it is certain that he was not Russian.
Though he used the name Šćepan himself, there is little reason to believe that this was his real name.
It is possible that the choice of this name came from its etymology (Stephanos means "crown" in Greek) or that it derived from the practice of the medieval Serbian rulers (such as Emperor Stefan Dušan) to typically use the name Stefan in conjunction with their own given names.
The epithet Mali (small, little or humble), which Šćepan used himself, is also of unclear origin.

One recent theory, first advocated independently by both Dušan J. Martinović (2002) and Rastislav Petrović (2001) is that Šćepan was actually Jovan Stefanović Baljević, the first Montenegrin to defend a doctoral dissertation (which he did in 1752).
Baljević spent several years working in Hungary (earning money by, among other things, forging passports) and then served as a officer in the Russian army.
Though traditionally held to have died in 1769, the 2002 and 2001 studies presented evidence which suggested that Baljević disappeared some years before 1769 and travelled to Montenegro.
Even if this identification would be correct, it would not completely solve the mystery as it would still remain unclear why Baljević would chose to travel to Montenegro in particular.
Peter III of Russia briefly ruled the Russian Empire from 5 January to 9 July 1762 and he died shortly after abdicating, probably killed in a plot orchestrated by his wife and successor Catherine the Great. For years thereafter, rumors circulated in Russia and elsewhere that the Tsar was not actually dead and that he had escaped into exile. These rumors lead to numerous people claiming to actually be Peter III, such as the ataman Yemelyan Pugachev, who led a rebellion in 1773–1775 in an attempt to depose Catherine and seize power for himself. 
At this time, the Prince-Bishopric of Montenegro, though independent, was more or less subjected to the Ottoman Empire. Because the Ottoman central government was relatively weak, the Montenegrins occasionally fought against the Ottomans. As a small mountain realm, Montenegro remained one of the few more or less independent Orthodox Christian realms in the Balkans and the Ottomans remained a constant threat to their continued existence. On the Adriatic coast, Montenegro was also bordered by the Republic of Venice, which was slowly losing its grasp over the region. Montenegro's situation was made more difficult by common infighting and the ruling Prince-Bishop Sava Petrović's lack of authority. Sava was not respected among the Montenegrins and did little actual ruling. Though he had co-ruled with his more respected and competent cousin, Vasilije Petrović, Vasilije died on 10 March 1766, leaving the country more or less leaderless. There was no real state in Montenegro at the time, with the country rather being more akin to a conglomerate of autonomous and semi-nomadic clans precariously united because of external danger. Šćepan Mali's subsequent success partly built on the widespread Montenegrin belief and hope for a savior figure.
Šćepan's true identity is unknown, though it is certain that he was not Russian. Though he used the name Šćepan himself, there is little reason to believe that this was his real name. It is possible that the choice of this name came from its etymology (Stephanos means "crown" in Greek) or that it derived from the practice of the medieval Serbian rulers (such as Emperor Stefan Dušan) to typically use the name Stefan in conjunction with their own given names. The epithet Mali (small, little or humble), which Šćepan used himself, is also of unclear origin.
One recent theory, first advocated independently by both Dušan J. Martinović (2002) and Rastislav Petrović (2001) is that Šćepan was actually Jovan Stefanović Baljević, the first Montenegrin to defend a doctoral dissertation (which he did in 1752). Baljević spent several years working in Hungary (earning money by, among other things, forging passports) and then served as a officer in the Russian army. Though traditionally held to have died in 1769, the 2002 and 2001 studies presented evidence which suggested that Baljević disappeared some years before 1769 and travelled to Montenegro. Even if this identification would be correct, it would not completely solve the mystery as it would still remain unclear why Baljević would chose to travel to Montenegro in particular.
Šćepan Mali