If you are a native Russian speaker, you can skip everything past the joke and record your displeasure and disagreement in the comments.
Look at the painting. Now imagine that a little Jewish boy approaches the three legendary warrior-heroes and asks the one in the middle, in a distinctive Jewish accent: “What are you looking at, dear Ilya Muromets?”. Legendary warrior-hero says in a gauche turn of phrase: “I’m contemplating, who’s got it good in Russia!”. The little boy also decides to be witty and retorts: “Don’t you know this Russain proverb, ‘It’s always better where we are not’?!”. The legendary warrior-hero sighs and responds: “Well, that’s what I’m looking for, a place where you are not!”.
(end of joke)
Confused? I bet you didn’t get most of the references, so let me explain. I am going to start from the very beginning and build on it.
Above is a famous (there’s going to be a lot of this) painting by a famous (a-ha) Russian painter Viktor Vasnetsov. It shows three Russian ‘legendary warrior-heroes’ (akin to the ‘noble warrior-heroes’ from Captain Marvel), “богатыри” in Russian. They are subjects of Russian folk tales, and subsequently, of numerous jokes. They are huge, noble, sometimes slow, sometimes witty, sometimes outright batshit-crazy (usually when drunk). The middle one is using his battle glove, so the sun does not interfere with his vision. So he must be looking at something. Or for something? That is going to play out in the joke.
So, this little Jewish (that’s important) boy approaches this legendary warrior-hero and asks: “What are you looking at, dear Ilya Muromets?” (supposedly, everyone would know them by sight). But instead of answering the direct question, the legendary warrior-hero decides to be a smart-ass and says: “I’m contemplating who’s got it good in Russia”. Which, in turn, is another cultural reference.
Here’s a cover of one of the first editions of a famous (a-ha) unfinished Russian poem, the title of which is usually translated to English as “Who is happy in Russia” — but you catch my drift. It depicts a journey of seven Russian peasants, witnessing the horrible life or Russian people, etc. Commies loved to indoctrinate the young with that stuff, so every schoolkid from the USSR understands the reference. Anyway, the reference itself (“who’s got it good in Russia”) is now entirely in the domain of jokes and anecdotes, not books, which makes it funny in itself.
Again, the boy accepts the challenge presented by the legendary warrior hero, and retorts by referencing a proverb, which translates to something like “the grass is always greener on the other side of the fence”.
But the legendary warrior hero is not done. He takes the words of the proverb literally, and switches on his household anti-Semitism (also a very Russian thing), by implying that people can only be happy where there are no Jews around.
And that’s the joke.