He made his debut for the main squad in the Russian Cup game against FC Torpedo Vladimir on 6 August 2008. He came on as a substitute on 24 October 2008 in an UEFA Cup game against Deportivo La Coruña, making his debut in European competition before playing in any domestic league games. He was one of the 40 nominees in the 2011 Golden Boy awards, but was not eventually included to the short list.[citation needed]
On 3 June 2023, Shchennikov played his farewell game for CSKA after 15 seasons at the club as CSKA secured 2nd place in the 2022–23 Russian Premier League by beating FC Rostov 4–1.[5]