Although Frost was not an actor before this (though he had appeared in Pegg's first major comedy series, Big Train, as an extra on several occasions), he created the character of Mike to amuse Pegg, his flatmate at the time. Pegg liked it so much that he wrote the character into Spaced. In 2001, Frost played a small role in an one-off episode of Victoria Wood's Acorn Antiques. This was a specially written episode shown during the series, "The Sketch Show Story" that Victoria narrated, in which Frost played an armed robber who 'shot dead' Acorn Antiques' most lovable character, Mrs Overall (Julie Walters). In 2002, Frost wrote and presented Danger! 50,000 Volts!, a spoof of the outdoors survival genre in which SAS experts or the like demonstrated how to improvise solutions to dangerous problems. In 2002, Frost also co-wrote and starred in The Sofa of Time with Matt King. In 2004, Frost appeared in Shaun of the Dead, a 'rom-zom-com' (romantic comedy, with zombies), written once again by Pegg along with Spaced director Edgar Wright. The film follows the life of Shaun, a disaffected store clerk who tries to win back his girlfriend in the midst of a zombie outbreak. Frost played Ed, the lovable oaf and best friend of Shaun. Also in 2006, he acted in a second feature film, Kinky Boots.

In late 2005 he starred in the comedy sketch show Man Stroke Woman, which aired on BBC Three. A second series of Man Stroke Woman was aired on BBC Three during February/March 2007. In early 2006, Frost played the lead character, Commander Henderson, in two series of the BBC Two sci-fi sitcom, Hyperdrive.

Frost and Pegg appeared in a second Pegg-Wright feature, Hot Fuzz, an action and cop genre homage, set in rural Gloucestershire, England. Frost plays bumbling Constable Danny Butterman, who partners up with Pegg's dynamic Nicholas Angel after the latter is transferred from metropolitan London.

Frost narrates UK's Channel 4 reality show Supernanny, and has made fleeting appearances in the Channel 4 TV surreal medical comedy series Green Wing, as "Just a Man" in pub scenes (when asked by Boyce who he is when talking to Dr. Guy Secretan, he responds, "Just a man.").

In Shaun of the Dead Frost asks for a Cornetto when Pegg goes to the newsagent; then in Hot Fuzz he returns the favour when Pegg asks for a Cornetto. The colour of each Cornetto references the film (Shaun of the Deads' Cornetto red for blood, Hot Fuzzs' blue and white for the police.)