Frost was born in Cape Town, South Africa, and matriculated from Paarl Boys’ High School in 1977. He turned professional in 1981 and claimed his first professional win in 1983. From 1982 to 1984 he primarily played on the European Tour, after which he based himself in the US. There, he won 10 events on the PGA Tour, the most prestigious of which was the 1989 NEC World Series of Golf.
In June 2013, Frost won the 2013 Regions Tradition for his maiden senior Major title. He claimed the title by a stroke over American Fred Couples.