Sergeant Major Kholodov was born in Saint Petersburg, Russia, on 15 December 1982 and moved to the United States in November 1999. He enlisted in the Marine Corps in the Delayed Entry Program on 9 January 2004. He began recruit training with Third Battalion, India Company Marine Corps Recruit Depot, San Diego, California, on 24 October 2004. Upon graduation, he was promoted meritoriously to the rank of Private First Class.

Upon completing recruit training, Private First Class Kholodov transferred to the Naval Air Technical Training Center in Pensacola, Florida, where he attended his MOS “A” school. Upon graduation, Private First Class Kholodov transferred to the Center for Naval Aviation Technical Training on Camp Pendleton, California, where he graduated from his MOS “C” school as a basic H-1 Airframes and Hydraulics Systems Mechanic.

In August 2005, Private First Class Kholodov reported to Marine Light Attack Helicopter Squadron 169, Marine Aircraft Group 39, 3D Marine Aircraft Wing, and promoted to Lance Corporal in September 2005. He served as an AH-1W and UH-1N Helicopter Airframe and Hydraulics Mechanic and deployed in support of Operation Iraqi Freedom from March to October 2006.

In November of 2006, Lance Corporal Kholodov promoted to Corporal, and he transferred to the Marksmanship Training Branch, Headquarters and Support Battalion, Marine Corps Base, Camp Pendleton as a Tower Non-Commissioned Officer at Wilcox rifle range 103 in support of Fleet Assistance Program. From December 2006 to September 2007, he was directly responsible for daily range operations of annual marksmanship requirements and Western Division Matches for the Navy and Marine Corps.

Upon returning to HMLA-169, Corporal Kholodov deployed two more times in support of Operations Iraqi Freedom, Enduring Freedom, and Operation Khanjar in Afghanistan as an Airframes Collateral Duty Quality Assurance Representative. In June 2008, he was promoted to Sergeant. He also served as the unit's Color Sergeant.

In February 2010, Sergeant Kholodov transferred to the Center for Naval Aviation Technical Training, Camp Pendleton, California. Sergeant Kholodov served as an H-1 Airframes and Hydraulics Instructor, Instructor Evaluator, and Color Sergeant. In August 2011, he was promoted to Staff Sergeant. In October 2012, Staff Sergeant Kholodov was reassigned to Helicopter Marine Light Attack Squadron 267 and assumed duties and responsibilities as the Corrosion Control SNCOIC and Hazardous Materials Control and Management Supervisor.

In July 2014, Staff Sergeant Kholodov reported to MCRD Parris Island, SC, as a Drill Instructor Class 4-14 student. Upon graduation, Staff Sergeant Kholodov reported to Third Recruit Training Battalion, serving as Drill Instructor and Senior Drill Instructor for Company M from October 2014 to May 2016. During that time, he also attended the Marine Combat Instructor of Water Survival course and graduated as the Honor Graduate of his class. In May 2016, Staff Sergeant Kholodov was reassigned to First Recruit Training Battalion and served as Senior Drill Instructor for Company A. In August 2016, he assumed Water Survival Section SNCOIC duties at Support Battalion, Recruit Training Regiment, MCRD PI. In September 2016, SSgt Kholodov promoted to Gunnery Sergeant and in December was named the Marine Corps Drill Instructor of the Year.

In January 2017, Gunnery Sergeant Kholodov reported to Drill Instructor school MCRD Parris Island, where he was an instructor for six consecutive classes. Upon successful completion of Drill Instructor duty, Gunnery Sergeant Kholodov transferred to Headquarters and Headquarters Squadron, Search and Rescue section Yuma AZ, where he served as Maintenance/Material Control Officer. On October 2nd, 2020, Gunnery Sergeant Kholodov was frocked to First Sergeant and executed orders to 1st Battalion 6th Marines. In August of 2021, he deployed with Company B to Haiti to support the Humanitarian Assistance and Disaster Relief mission. A short time after returning, he was assigned to Weapons Company, where he served as the Company's First Sergeant and, in July 2023, deployed with the 26th MEU (SOC) in support of EUCOM operations. In August 2024, First Sergeant Kholodov was promoted to Sergeant Major and reported to 3rd Recruit Training Battalion, MCRD San Diego.

Sergeant Major Kholodov's personal decorations include the Navy Commendation Medal with three gold stars in lieu of fourth award and Navy and Marine Corps Achievement Medal.