Frost became interested in sport at a young age and was an all-round athlete. He won medals for running and swimming and was a prominent member of the Winchester Harriers sports club. He particularly excelled as a cyclist, entering competitive events at an early age and holding several amateur cycling records. In 1898, Frost won, within the space of a fortnight, Britain's two leading cycle racing trophies, the Bath Road 100 and the Cawardine Challenge Cup, as well as the national championship. By the time he retired he had won every important amateur cycling trophy in the nation.

He is particularly remembered for winning the Carwardine Challenge Cup, a 100-mile race held annually at the Herne Hill race track. This huge cup was donated by the vice-president of the Anerley Bicycle Club in 1895 and was made from 650 ounces of silver, with ornamentation of solid gold. The tradition at the time was that if someone won a trophy three times they could keep it. Frost, riding for the Bath Road club in Hayes, first won it in 1896, repeated the victory in 1898 and was victorious for the third time in 1900. The cup is occasionally exhibited in Winchester.
Which trophy was Frost able to keep and why?
Frost was a prominent cyclist. In the late 1800s and early 1900s when he was active he was able to win the Carwardine Cup trophy and keep it. The tradition at the time was that if one could win a trophy 3 times, one could keep the trophy. Frost won this trophy in 1896, 1898 and 1900.