After being exchanged for a captured Federal officer, Frost traveled south to Join the Confederate Army. On March 3, 1862, Frost was commissioned as a Brigadier General in the Confederate Army and assigned to duty in Memphis, Tennessee, under Major General Sterling Price. He briefly served as the inspector general in the army of Gen. Braxton Bragg, and then in October was assigned to the Trans-Mississippi Department. Frost led a division into action at the Battle of Prairie Grove in the corps of Maj. Gen. Thomas C. Hindman. On March 2, 1863, Hindman was relieved of duty and replaced by Frost in Little Rock, Arkansas.