While Loki initially struck up an alliance with the Frost Giants, he later double crossed them by killing Laufey and attempting to use the Bifrost Bridge to destroy Jotunheim, but Thor stopped him from doing so.
So far the Frost Giants have only shown up in two MCU movies, with 2011’s Thor being their most prominent appearance.
In that movie, Loki learned that he was a Frost Giant himself, specifically the biological son of their leader, Laufey.
A Frost Giant also cameoed in 2014’s Guardians of the Galaxy as one of the creature on display in The Collector’s museum.