David's father was the Rev. W.J. Parradine Frost who died in 1967, his mother Mona, born in 1903, lived in Beccles, Suffolk. He had a sister, Mrs Margaret Bill who lived in Whitby. He owned 'Sweet Briar Cottage in Eastbridge near Theberton, Norfolk, a Georgian town house in Knightsbridge, London and a hotel suite in New York. His marriage to actress Lynne Frederick in 1981 lasted 6 months.