Koshchei, often referred to as "Koshchei the Deathless" or "Koshchei the Devil," is a figure from Slavic folklore and a one time foe of Hellboy.
In the Hellboy Universe he is a slave of the Baba Yaga. He is quite literally deathless as he cannot be killed due to his soul being separate from his body. After being killed and having his corpse chopped to pieces and left in the woods, a dragon that had watched over him for years revived Koshchei through magic. To ensure that this would never happen again, the Dragon took Koshchei's soul from his body and hid it away inside of an egg, inside of a duck, inside of a rabbit, inside of a goat, inside of a tree, on an island just beyond the edge of the world. Baba Yaga is said to have "hidden the goat" and holds it hostage so Koshchei will do her bidding, in hope that the Baba Yaga will one day release his soul and allow him to die, as Koshchei has become tired of immortality.
He was contracted by Baba Yaga to kill Hellboy who was trapped in the Thrice Lands.
After losing to Hellboy, Koshchei was swept up in the waters summoned by Vasilisa and taken beyond the Thrice Lands. He meets the Baba Yaga, who tells him that she has let go of her grudges and that the goat with his soul has ran away from her and made its way to Hell through the roots of the world tree. The Baba Yaga restores Koshchei's armor and weapons points him towards the goat's direction.
He encounters Gamori along his path through a desert in Hell and makes his way to a seashore. There he meets Hellboy in a bar and shares his story with him. Hellboy, in turn, explains how Hell has changed in his time there and leaves him to continue his search for his soul.