Born in West Overton, Pennsylvania, he went into business producing coke from coal and was a millionaire by the age of thirty. He was hired by Andrew Carnegie to assure that his steel mills would be adequately supplied with coke. Frick became chairman of the Carnegie Brothers and Company, which became the Carnegie Steel Company.
Frick and Carnegie's partnership came to an end over Frick's aggressive anti-labor policies, beginning with actions taken in response to the Homestead Steel Strike, a 1892 labor strike at the Homestead Works of the Carnegie Steel Company. Frick's forcible repression of the strike, using a small army of Pinkertons, resulting in several deaths, and which was only ultimately quelled by the additional action of 8,000 militia, angered many radicals.
Anarchist Alexander Berkman decided to kill Henry Clay Frick. His lover Emma Goldman decided to prostitute herself to earn the money needed to arm him, but in the event was sent home untouched by her first client with the $10 that was used to purchase the gun. On July 23, 1892, Berkman entered Frick's office in downtown Pittsburgh and shot him twice in the neck, with a third shot missing him. Wrestled to the ground by the combined efforts of Frick and his chief aide John Leishman, Berkmann stabbed Frick seven times with a dirk-knife before the police entered, guns in hand. Frick yelled, "Don't shoot! Don't kill him! The law will punish him." Frick was back at work in a week; Berkman served fourteen years in prison and was pardoned in 1906. The attempted assassination had no effect on labor conditions at Homestead Works, though Berkmann and Goldman were able to use the resultant publicity to become anarchist spokespeople. They were deported to Russia in 1919. Berkmann committed suicide in 1936.
Frick resigned from the Carnegie Steel Company, and, in 1900, formed the St. Clair Steel Company. After Carnegie had sold his interest in the Carnegie Steel Company, Frick helped form the United States Steel Corporation. He also accumulated real estate and construction interests, including the first steel-frame skyscraper.
Frick's wealth allowed him to accumulate a significant art collection, which moved with him to New York in 1905. The Frick Collection is housed in his former mansion at 70th Street and Fifth Avenue, built in 1914, and left (on Frick's death in New York) as a public gallery which opened in 1935.