Courland Governorate was one of provinces or governorates of Russian Empire . It was formed in 1795 during Third Partition out of territory of Duchy of Courland and Semigallia . The governorate was created in 1795 out of the territory of the Duchy of Courland and Semigallia that was incorporated into the Russian Empire as the province of Courland with its capital at Jelgava ( called Mitau at the time ) , following the third partition of the Polish-Lithuanian Commonwealth .