Krog won bronze after a losing a desperate race to catch up with Frenzel and Akito Watabe from Japan, who together started the race with a 20-second advantage over the rest of the pack, after pulling off superior opening jumps.
Krog showed his strength in the final gruelling climb, however, pulling ahead of the rest of the competitors to take third place, ending just eight seconds behind Frenzel.
"I had chills on my neck as I went up that last hill, when they fell off one by one," a breathless Krog told TV2 after the race. "'What the f*** is happening now'," I thought as I climbed up. "Now,I can manage to win a medal'."
"Krog's a tough guy and he has a habit of rising to the competition," Norway's national team manager Kristian Hammer told TV2.
However, Norwegian Nordic expert Fred Borre Lundberg told NRK that he believed that Krog could have caught up with Frenzel over the 10km sprint if he'd pushed just that little bit harder.
"Krog's ending was awesome," he told NRK. "But it leaves a bit of a sour taste in the mouth to end just eight seconds behind the gold."
Frenzel, last year's World Cup champion, started the race with a six-second advantage over Akito Watabe of Japan, and was overtaken in the middle, before pulling ahead in the final kilometre to win by 4.2 seconds.
Frenzel's victory pushed Germany ahead of Norway in terms of the number of gold medals won, giving it five gold medals to Norway's four.
Norway was still ahead, however, in terms of the overall number of medals won, with its 11 medals putting it in front of The Netherlands and Canada, which have both won 10. Norway has so far won four gold, three silver and one bronze medal.