Frost was born in Cape Town, South Africa and graduated from Paarl Boys' High School in 1977.

[2] In 1989, he won the NEC World Series of Golf, defeating Ben Crenshaw at the second playoff hole.

In March 2015, Frost won his sixth Champions Tour title at the Mississippi Gulf Resort Classic by a single stroke over Tom Lehman and Kevin Sutherland.

In both 1997 and 1998 he captained South Africa to victory in the Alfred Dunhill Cup at the Old Course in St Andrews, Scotland.

The son of a vintner himself, Frost owns a winery in the Western Cape, South Africa, which produces vintages named after golf legends such as Jack Nicklaus and Arnold Palmer.