There are no known photos of the Romanovs while they spent their last few months in Yekaterinburg. Their last known photos thus date from just before their transfer there. As for as I know, these are the last photos taken. If you know of any others, do not hesitate to contact me.
This photograph of Grand Duchess Olga Nikolaevna of Russia and Tsarevich Alexei was taken in May 1918 aboard the Russia, a ship that took them from Tobolsk to Yekaterinburg, Russia. (public domain)
The last photograph ever taken of Empress Alexandra Feodorovna. With her are her daughters Olga (right) and Tatiana (left). They are on the balcony of the Governor’s Mansion, Tobolsk, in Siberia in spring of 1918. (public domain)
Nicholas II of Russia and an unidentified man sawing wood during the captivity at Tobolsk in 1918 (public domain)
From left to right, Grand Duchesses Maria, Olga, Anastasia, and Tatiana Nikolaevna in captivity at Tsarskoe Selo in the spring of 1917. (public domain)
Grand Duchess Anastasia Nikolaevna of Russia aboard the Rus, the ship that took her to Yekaterinburg in May 1918. This is the last known photograph of Anastasia. (public domain)