Born in Thonon-les-Bains, Haute-Savoie, Frey played exclusively at amateur level in his country, joining AS Cannes' youth system at the age of 10 and appearing in two seasons for its reserves as a senior.
After one year, Frey signed for Serie B club Modena FC, being an important first-team member during his spell and appearing in 62 league games in his last two years combined.