Frost became a professional cowboy in 1983. He placed sixteenth in the Professional Rodeo Cowboys Association standings that year, only one place short of qualifying for the National Rodeo Finals. This would be the only year of his professional career that he did not qualify. Still, he had some consolations: he was the PRCA's Prairie Circuit bull riding champion, and he was runner-up for Rookie of the Year.
In 1985 Frost married Kellie Kyle, a Texan whom he had met while competing in National High School Rodeo finals in 1980. Their marriage was sometimes strained, since Frost spent so much time on the road. The couple moved from Frost's town of Lane, Oklahoma, to Kellie's hometown of Quanah, Texas, in 1987, but by 1988 they had decided to separate for a time. They reconciled a few months later, shortly after Frost became a born-again Christian, and started making plans to build a ranch in Oklahoma, midway between Lane and Quanah. Frost was planning to spend less time on the rodeo circuit and more time at home raising his own bulls, helping his parents with their ranch, running a bull-riding school, and starting a family. Frost left for a time to compete at the Cheyenne Frontier Days in 1989, but he and Kellie already had a project lined up for when he returned: they had been hired to work together as stunt doubles in the movie My Heroes Have Always Been Cowboys, which was being filmed in Oklahoma. They were also awaiting approval of their loan to buy the land where they planned to build their ranch.