The Frost Knight, like all Knights, has special defensive properties. In this case, the Frost Knight doesn't carry any kind of shield but is completely invulnerable to anything but Angelic weapons. When you couple this with their high defense, it can take quite a few hits to take them down.
They also have some unique skills which mostly revolve around freezing the player. The most common is an Ice Blast attack which leaves a trail of ice on the ground and freezes anything that touches it. In addition to these ice attacks, it is also very capable of using the large blade on its left arm for melee combat.
These enemies can seem daunting at first but on their own or with other normal enemies, they aren't much of a threat. However, when you pair one of these with a Hell Knight, things can get tricky. It is common for the two of them to start near each other and then likely get closer as they try to approach you. The problem with this is that if you hit either of them with the wrong weapon then you will be knocked off balance. Since you can't pull the Frost Knight, the best strategy is to pull the Hell Knight instead. Keep pulling and you should be able to separate him from the Frost Knight, allowing you to take him out in a one-on-one fight.
