A Lazio youth system product, Frezzolini never played for the "biancocelesti" and was instead sent on loan to several minor league teams. In 1995, he was signed by Inter as a reserve choice, and then sent on loan to Serie C1 club Trapani in 1996, and Serie B side Fidelis Andria one year later. In November 1997 he was acquired by Udinese and managed to finally make his Serie A debut on 26 April 1998, in a league game against Roma. He was successively sent on loan again, this time to Cosenza, later in the summer of 1998, and spent the second half of the 1998–99 season on loan with A.C. Milan, who went on to win the Serie A title. After another spell on loan, this time with Chievo, in June 2001, he was sold to Lecce in a co-ownership deal, for 2,500 million lire (€1,291,142). In June 2002 Lecce acquired him outright for free.