By no means. Germany beat them in 1917, and Britain and France in the Crimean War. Sweden beat them in the Ingrian War of 1610-17, and again in 1656-58.

I think it is a bit of a stretch to say the Finns have beaten the Russians, seeing as in the only war in which Finland has faced the Russians and won was the Civil War where Finns fought mostly other Finns and only a small amount of the Reds.

The Russians were on the losing side in the conflicts of the Second, Third, and Fourth coalitions against Revolutionary and Imperial France. They were decisively defeated at the Second Battle of Zurich by Massena and at Austerlitz and Friedland by Napoleon. After Austerlitz Russia didn't surrender until after Friedland, but nevertheless they lost all three wars.

In addition to the other answers here, Poland defeated the Soviet Union in the Polish-Soviet War shortly after WWI.