Frey wrote the screenplays to the films Kissing a Fool and Sugar: The Fall of the West. Both were produced in 1998, the latter of which he also directed. Doubleday published A Million Little Pieces in April 2003, and Amazon.com editors selected it as their favorite book of that year. The New Yorker praised the book as A frenzied, electrifying description of the experience. In 2004, Frey wrote My Friend Leonard, which continued where A Million Little Pieces left off, and centered on the father-son relationship which Frey and his friend Leonard, from Hazelden, shared. My Friend Leonard was published in June 2005 by Riverhead, and became a bestseller. Amazon.com editors selected My Friend Leonard as their #5 favorite book of 2005. In 2007, Frey wrote Bright Shiny Morning, which was published in May 2008 by HarperCollins.
Frey's books have been published in thirty-one languages worldwide. In late 2007, Frey signed a new three-book, seven figure deal with Harper Collins to release his novel, Bright Shiny Morning, which was published May 13, 2008. Bright Shiny Morning, appeared on the New York Times bestseller list, and has received mixed reviews. In December 2008, Frey said he is working on an outline for a new novel, which he would depict as "the last book of the Bible", titled Illumination. He would show Jesus resurrected in New York City, living among prostitutes and the flotsam of the city.