Frost is one of five "huge" and "formidable" cities that form an arc east of the Plain of Fear in the northern continent, the others being Rust, Thud, Ade, and Barns. After Frost was reclaimed from the Rebel by the Lady's Empire, it was ruled by an imperial military governor. At least 12 years later, in The White Rose, the city would again take up the Rebel cause against the Lady, now as part of the New White Rose Rebellion.
Before Croaker's Annals
The city of Frost was conquered during the consolidation wars of the Lady's Empire, presumably by one or more of the Ten Who Were Taken and their armies. It became part of the border arc of the empire's eastern frontier, in a line along with at least four other massive nearby cities: Rust, Thud, Ade, and Barns.
Then, sometime in the decades afterward, Frost became part of the Rebel movement headed by the Circle of Eighteen. The stubbornness of the best general in the Circle, Whisper, held the eastern front together despite the best efforts of the Taken.
The Black Company
Frost would be reconquered for the empire by its own former Rebel champion, Whisper, after she was enslaved by the Lady to become the first of the new Taken. After Whisper recaptured Rust, crushed Trinket's army, and defeated Moth and Sidle on the Plain of Fear, she besieged the walls of Frost. This took place at the time that the Black Company was at the Stair of Tear. Croaker soon heard a report that Whisper had already breached the walls of the city.
After Frost was reconquered by Whisper it again became part of the border arc of the imperial eastern frontier. But in just six years, by the time of Shadows Linger, the empire had stretched far beyond Frost and that line of other cities, into the formerly independent kingdom of Tally.
Shadows Linger
The Black Company made a 146-day march from Tome (a town in Tally province) to Frost, across formidable mountains, deserts, and rivers. They were fortunate only to lose two men. Frost's military governor gave the Captain the bad news that the Limper would next lead the bulk of the Company, and a caravan they would escort, across the Plain of Fear. Meanwhile, Whisper arrived at Frost and picked up Croaker, Elmo, and Kingpin, the first third of an advance team, and flew them directly on her flying carpet to the Barrowland. The rest of the Company would depart Frost before Whisper would return to them to pick up Goblin and two others.
The White Rose
Frost apparently became a significant supporter of the New White Rose Rebellion by the time of The White Rose. In response, one of the new Taken called the Creeper was given control of the imperial army there, and raised his or her stela within the city. This was part of the Lady's encirclement of the Plain to entrap her enemies Darling and the Black Company – the nucleus of the New White Rose Rebellion – who had been directing Rebel activity from a cavern called the Hole there for two years.
Later, in the Tower at Charm, the Lady showed Croaker a vision of her Taken battling Darling's windwhales in the air above a burning imperial city. Croaker believed it was Frost. In this battle, at least one of the windwhales was killed by shafts fired from gigantic ballistae, while the Takens' spells were extinguished in Darling's anti-magic null. The scale of the battle was so immense that it appeared to be a "dying city".
If it was still populated, it presumably became peaceful when the New White Rose Rebellion allied with the Lady's Empire to defeat the Dominator. Frost may have subsequently been rebuilt by the Empire.