The 24-year-old did the double at the last round in Seefeld last time out, his first wins of the season, and he picked up where he left off on home soil.
Frenzel's victory was a dominant one as he ranked first after the ski jumping and then did enough in the cross-country ski to win by just over 10 seconds ahead of team-mate Tino Edelmann.
Ronny Ackermann was the last German to win a World Cup race in Klingenthal and, now leading the World Cup standings by two points, Frenzel admitted the day couldn’t have gone better.
"My tactic was to work together with Tino," said Frenzel. "We went a bit slow on the first round of the cross country and the tactic for the last round was to go out really hard.
"I built up a little bit of a gap which was enough for the win. I am completely happy with the performance and it is my first time in the yellow bib.
"I am really happy to do it in Klingenthal, my home race, and that is really nice for me."
Frenzel recorded a score of 127.5 for first place in the ski jumping with Edelmann second with an effort of 124.5 and Tomas Slavik third with a score of 124.0.
And Frenzel nor Edelmann were to be catched in the cross country ski, the Germans working together to ensure that wasn't the case with the latter coming home in 23:03.4minutes.
Frenzel's time was only the 10th quickest but beat Edelmann by 10.4seconds while Austria's Wilhelm Denifl was sixth across both elements to place third a further 6.2 behind.
A third successive win for Frenzel sees him knock Jason Lamy Chappuis off the top of the World Cup standings with the German's total 574 to the Frenchman's 572.
Lamy Chappuis was fifth, meaning he now hasn't finished in the top three for the past four races while Magnus Moan drops to third overall with a total of 530 after finishing down in 12th.