Her credits as an actress include Empire State (1987), Diamond Skulls, also known as Dark Obsession (1989), Bram Stoker's Dracula (1992), The Krays (1990), Magic Hunter (1994), Shopping (1994), A Pyromaniac's Love Story (1995), Flypaper (1997), Final Cut (1998), Captain Jack (1999), Love, Honour and Obey (2000), Beyond the Rave (2008), Molly Moon and the Incredible Book of Hypnotism (2015), and A Bird Flew In (2021).

Frost was born in Islington, North London, in 1965 to psychedelic artist David Vaughan, who worked for the Beatles, and actress Mary Davidson, who was sixteen at the time of her birth.

[2] She later said that this role paved the way for her film appearance as the beautiful, ill-fated Lucy Westenra in Francis Ford Coppola's Bram Stoker's Dracula (1992).

[2] In the early 90s, she appeared in music videos, including for Pulp's song "Common People",[6] Planet Perfecto featuring Grace's "Not Over Yet '99",[7] various productions for Spandau Ballet,[3] where she met first husband Gary Kemp.

[9] In 1994, Frost met her future husband when she took a role opposite Jude Law in Paul W. S. Anderson's directorial film debut Shopping.

[3] Frost and Law were to appear together again in the British gangster comedy Love, Honour and Obey (2000), alongside Ray Winstone, Jonny Lee Miller, Kathy Burke, Sean Pertwee, Denise Van Outen, and Rhys Ifans.

[10] In 1997, Frost and Law co-founded the production company Natural Nylon, along with others including Jonny Lee Miller, Ewan McGregor, and Sean Pertwee.