Stranger Things season 3's shocking Demogorgon twist was revealed in episode 6. The show's first-ever post-credits scene revealed that the Russians acquired a Demogorgon. Based on a specific scene a few episodes earlier, however, this shouldn't have been that much of a surprise.
In the Stranger Things season 3 premiere the Russians were seen trying to open their own Gate to the Upside Down. They failed miserably, which is why they moved their operations to Hawkins, an area which housed a Gate that had already been opened. The Stranger Things season 3 post-credits scene traveled back to the remote facility in Kamchatka, Russia as two soldiers dragged a prisoner into a caged area. The men then opened a trap door for a Demogorgon to enter and feed on the terrified prisoner.
The post-credits scene raised a ton of questions. Viewers instantly wanted to know who "The American" in the first prison cell was. Although perhaps more important is how the Russians get their hands on a Demogorgon in the first place. Stranger Things season 4 will likely answer that question, but it was made clear that the Russians were at least prepared to catch a Demogorgon.
In Stranger Things season 3, episode 6, Steve and Robin were captured in the Russian lab under Starcourt Mall. Dustin and Erica evaded being caught and embarked on a rescue mission. They eventually found a small vehicle but the pair couldn't locate the keys. While searching, Erica saw a large cage which could have held a full-size Demogorgon. Even more interesting is the fact that she also found a cattle prod which later came in handy in Steve and Robin's rescue.
The Russians had the cages and cattle prods at the ready to apprehend a Demogorgon by force, signaling their intent in opening a Gate to the Upside Down. As the post-credits scene shows, they eventually got their hands on one of the creatures, although it remains unclear if the Demogorgon came from Hawkins or if the Russians managed to open their own Gate. If it did come from Hawkins, it presumably would have died when Joyce turned off the machine to close the Gate. There's also a possibility that the Russians found a new Gate as Alexei previously stated that there were "many keys" which could open a rift into the Upside Down.
The Russians knew more about the Upside Down than first believed considering they came to Hawkins with intentions of catching creatures from the other dimension. So now the real question surrounding the future of Stranger Things is what do the Russians plan to do with the Demogorgon? Surely Dr. Owens and his team would have seen the cages when they took back the secret Russian operation under Starcourt. Once he puts the pieces together, the Upside Down-focused arms race against the Russians will be more crucial than ever.