Frey, known as Frey the Thief or the Phantom Thief, is a Norse god who appears in the human world as a tall, handsome young man with brown hair and blue eyes. As the older brother of the goddess Freya, he holds the divine title of a god of invention, claiming to be known in Asgard as the god of inventors, a figure comparable to Edison. He arrives on Earth initially to aid the god Heimdall in his mission to destroy the detective Loki, but this objective quickly becomes secondary to his own personal desires.

Frey possesses an impulsive and quixotic personality, perceiving the world not as it is, but through a lens of romantic clichés, dramatic stereotypes, and absurd non sequiturs. He is a very happy and energetic individual, a stark contrast to his often-serious roommate, Heimdall. Despite being a powerful god, he is notably oblivious and lacking in common sense, frequently failing to grasp obvious situations. For example, he does not initially recognize that Loki is trapped in the form of a child, fails to identify his own sister when he encounters her in her human guise, and is easily baffled by simple tricks. This ditzy nature leads to him and his sister being referred to as the moronic siblings, especially in their chaotic reunions which often involve Freya striking him with a metal basin.

Frey’s primary motivation shifts from his original mission to a quest to find his missing sister, Freya, wanting to ensure that Loki is not corrupting her. However, his plans take another dramatic turn when he meets the human girl Mayura Daidouji. He falls in love with her at first sight, immediately dubbing her his Yamato Nadeshiko, a name for the ideal, classic Japanese beauty. Winning Mayura’s heart becomes his central goal, and he proclaims himself Loki’s love rival, frequently interrupting any moment Loki and Freya might share together. To capture Loki’s attention and insert himself into the detective's world, Frey adopts the persona of a master jewel thief, the natural enemy of any great detective. Despite his dramatic heists, his thievery often seems less about crime and more about staging a romantic spectacle.

Frey’s key relationships define his actions throughout the story. His bond with his sister Freya is central, marked by a chaotic but affectionate sibling dynamic. His unrequited infatuation with Mayura drives much of his comedic behavior, as he constantly tries and fails to win her affection, though she often ignores him. As a self-proclaimed rival to Loki, Frey constantly bickers with the detective, though his efforts are typically more of a nuisance than a genuine threat. He initially allies with Heimdall, bunking with him, but does not share Heimdall’s serious dedication to killing Loki.

In terms of development, Frey remains largely a static comedic character throughout the main narrative, serving as a source of comic relief and romantic chaos. However, glimpses of his true nature as a great warrior and a hero of the gods occasionally surface, hinting at a more capable figure beneath the foolish exterior. As a god, Frey possesses several notable abilities. He is a skilled warrior, and despite his scatterbrained demeanor, he is considered the best among the gods at using runes, a field in which even Loki admits Frey surpasses him. His most unique talent is his inventive power, which relies on his imagination. He can create devices that function not by their physical components, but by his intended purpose for them, meaning the more creative the idea, the better the invention works. This power is a direct manifestation of his divine authority over invention.