The Winter of the Witch by Katherine Arden (Winternight Trilogy #3)
In book #1 The Bear and the Nightingale, Vasilisa (Vasya) is a child in a small Russian village, listening to her nurse's stories of Vasilisa the Brave, one of the most famous heroes in northern folklore. Things go terribly wrong, but at least she got a magical talking horse in the process.
In book #2 The Girl in the Tower, the action moves to Moscow, where Vasya and the horse Solovey try to protect the royal family and citizens of the city from evil magic. Things go terribly wrong again, but at least the winter-demon teaches Vasya some useful magic in the process.
In book #3, The Winter of the Witch, things go terribly wrong and get terribly wrong-er. Vasya loses her allies, she loses her family, and Russia itself is nearly lost to the invading Tatar army. But Vasya is stubborn, clever, and just a little bit lucky, so with the help of magical friends (mostly familiar figures from Russian fairy tales), she brings new power to the decisive Battle of Kulikovo.
The author twines historical Russian events with traditional Russian folklore to create a fabulous, magical series of novels, perfect for reading on cold winter nights. Highly recommended for readers who enjoy fairy tale retellings with a strong female character.