Bull riding was in Frost's blood. His father, Clyde, was a bull rider, and was, in fact, away on the rodeo circuit when Frost was born. Frost's mother, Elsie, recalls that even as a baby, Frost was fascinated by bull riding. As the story is told on the Lane Frost home page, starting when Frost was about five months old he would wake up just as the bull riding competition, always the last event of a rodeo, was beginning. If the Frosts tried to leave early to beat the crowds, Frost would start to fuss, but as soon as they sat down and let him watch the bull riding he would be happy.
The Frosts owned a dairy farm in Utah, and it was here that Lane got his first riding experience, on the family's calves. At the age of ten he competed in his first rodeo, placing first in the bareback riding competition on a Shetland pony, second in calf roping, and third in calf riding. At the age of fifteen, Frost graduated to riding bulls instead of calves, and he started taking lessons from the famous bull rider Freckles Brown. In a very short period of time, Frost had become a major figure on the rodeo circuit in Oklahoma, where his family had moved when he was fourteen. He was the bull riding champion of the Oklahoma Youth Rodeo Association from his sophomore year in high school, 1980, until he graduated in 1982. By his senior year he was also the bull riding champion of the American Junior Rodeo Association.