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The Russians did get a hold of him in the film. He was actively working for them during the Cold War.

However.... Hydra had gotten hold of The Russians.

 timetowaste85 wrote:
And they tried to keep Winter Soldier accurate in appearance to the comics. The star on the metal arm is kind of his "thing". I'm glad they kept it, even if in the movie it was Nazis. In the comics, the Russians got ahold of him.

To be fair, they actually explained it actually well and it wasn't just "Nazis did it".

They made a reference to "Operation: Paperclip" explaining that was how members of Hydra ended up being amongst SHIELD. Paperclip was the United States basically offering pardons to Nazi scientists in exchange for a new life in the US and working on the soon to start space program.
The Russians did something similar...so Winter Soldier could have been a Hydra agent without really being a Hydra agent.

From the movie Zola made Bucky into the Winter Soldier but then post WW2 Bucky was used by the Soviets then post Soviet era SHIELD scooped him up:

I thought Hydra had agents across all countries TBH.