Sasha is a large white wolf who serves as companion and guardian to the Winter Girls since the first Winter Girl came into being. When Aislinn first sees Sasha as his "true self," he is large enough for Donia to ride on his back. Later, when Donia puts on a glamour and appears to Aislinn, Sasha looks more like a normal, but large, dog.

Sasha is more than likely fey, but seems unique. There is no mention elsewhere in the book of faeries that look like animals. There are wolf-fey, but none like Sasha; they have crystalline fur and seem more like werewolves than true animals. Sasha, except for his size, doesn't change much in appearance between his true state and his glamoured, visible-to-humans state.

Sasha can accompany Donia when she walks near the railroad tracks. She comments she wouldn't do this if it bothered him, but it doesn't. Most fey, with the exception of the court royals, can't spend long periods of time around iron. Sasha is, therefore, as powerful as Keenan, Irial and/or Beira; but it doesn't appear he makes magic on his own.

Sasha doesn't seem to have any method of communication, other than what we'd expect of a real wolf. Even so, he does convey, very strongly, his connection to Donia. Sasha is protective, loyal, intelligent, fierce and loving. When the role of Winter Girl is destroyed at the end of Wicked Lovely, Sasha and Donia could have chosen to part, as he serves the Winter Girl, but instead they chose to stay together.