Like many of the lakes in the Northwest Territories (NWT), Frame is glacial in origin. During the Wisconsin Glaciation, the last ice age, glaciers covered almost all of today's Western Canada. As they retreated about 20,000 years ago, they left large lakes of meltwater behind. One, known today as Lake McConnell, covered almost all of the western NWT as well as adjacent regions of what is now Alberta and Saskatchewan. By 8,000 years ago, it had drained and evaporated to the point that only small remnants were left, such as Athabasca, Great Bear and Great Slave Lakes. Along with those larger lakes were smaller lakes like Frame, where fine sand that accumulated in depressions formed the lake bed.
Human use of the lake began with the Dene, the First Nations in the region, whose ancestors settled there around 7,500 years ago. The Yellowknife band, who would later give their name to the city, found the lake abundant with pike, suckers and whitefish. While they did not settle on its shores, they established a fishing camp there.