Rye genetic resources provide a valuable source of new alleles for the improvement of frost tolerance in rye breeding programs. Frost tolerance is a must-have trait for winter cereal production in northern and continental cropping areas. Genetic resources should harbor promising alleles for the improvement of frost tolerance of winter rye elite lines. For frost tolerance breeding, the identification of quantitative trait loci (QTL) and the choice of optimum genome-based selection methods are essential. We identified genomic regions involved in frost tolerance of winter rye by QTL mapping in a biparental population derived from a highly frost tolerant selection from the Canadian cultivar Puma and the European elite line Lo157. Lines per se and their testcrosses were phenotyped in a controlled freeze test and in multi-location field trials in Russia and Canada. Three QTL on chromosomes 4R, 5R, and 7R were consistently detected across environments. The QTL on 5R is congruent with the genomic region harboring the Frost resistance locus 2 (Fr-2) in Triticeae. The Puma allele at the Fr-R2 locus was found to significantly increase frost tolerance. A comparison of predictive ability obtained from the QTL-based model with different whole-genome prediction models revealed that besides a few large, also small QTL effects contribute to the genomic variance of frost tolerance in rye. Genomic prediction models assigning a high weight to the Fr-R2 locus allow increasing the selection intensity for frost tolerance by genome-based pre-selection of promising candidates.