Frost's father was a teacher, and later an editor of the "San Francisco Evening Bulletin" (later the "San Francisco Examiner"), and an unsuccessful candidate for city tax collector. After his death on May 5, 1885 the family moved across the country to Lawrence, Massachusetts. Frost graduated from Lawrence High School in 1892. Frost's mother joined the Swedenborgian Church and had him baptized in there, but he left the church as an adult. 