Like Wang's first film, The Days, Frozen was cast primarily with friends of Wang Xiaoshuai. Unlike in his earlier film, the two leads of Frozen were professional actors who would become major figures in the sixth generation movement. Actor Jia Hongsheng was selected to play Qi Lei, a performance artist who decides to make his own death his final work. Jia would go on to star in other sixth generation films, notably with director Lou Ye in Weekend Lover (1994) and Suzhou River (2000). Wang selected Jia in part because he was unconventional looking and in Wang's words, Jia "does not look like an actor." But because Jia was Wang's friend, he did not demand payment, thus allowing the film to operate on a smaller budget.
The other lead, Shao Yun, Qi Lei's girlfriend, was played by actress Ma Xiaoqing. Her casting was done in part to create parity with Jia. Wang wanted both leads to be professional actors.
The film proved to be a difficult shoot, much like its predecessor. However, the problems that plagued Frozen were far different from the obstacles of The Days. By far the greatest issue during filming was the content of the film. Several key scenes required actor Jia Hongsheng to recreate performance art, such as soap-eating, and in the film's ultimate scene, self-freezing. Both scenes were difficult to capture although the scene which demanded that Jia lay in ice for several minutes was the most dangerous. Indeed Wang had to have Jia sent to the hospital immediately after shooting to check for permanent damage. As Wang later noted, the artist who Jia's character was based on had actually died performing the freezing piece.