Frick was born in West Overton, Westmoreland County, Pennsylvania, U.S., a grandson of Abraham Overholt, the owner of the prosperous Overholt Whiskey distillery. Frick's father, John W. Frick, was unsuccessful in business pursuits. Henry Clay Frick attended Otterbein College for one year, but did not graduate. In 1871, at 21 years old, Frick joined two cousins and a friend in a small partnership, using a beehive oven to turn coal into coke for use in steel manufacturing, and vowed to be a millionaire by the age of thirty. The company was called Frick Coke Company.

Thanks to loans from the family of lifelong friend Andrew W. Mellon, by 1880, Frick bought out the partnership. The company was renamed H. C. Frick & Company, employed 1,000 workers and controlled 80 percent of the coal output in Pennsylvania.

Shortly after marrying his wife, Adelaide, in 1881, Frick met Andrew Carnegie in New York City (the Fricks were on their honeymoon). This meeting resulted in a partnership between H.C. Frick & Company and Carnegie Steel Company, and was the predecessor to United States Steel. This partnership ensured that Carnegie's steel mills had adequate supplies of coke. Frick became chairman of the company, surprisingly. Andrew Carnegie made multiple attempts to wedge Frick out of the company they had created by making it appear like the Company had nowhere left to go and it was time to retire. Despite all of the contributions Frick had made towards Andrew Carnegie's fortune, Carnegie disregarded Frick in many executive decisions including finances.

At the suggestion of his friend Benjamin Ruff, Frick formed the exclusive South Fork Fishing and Hunting Club high above Johnstown, Pennsylvania. The charter members of the South Fork Fishing and Hunting Club, assembled by Henry Clay Frick, were: Benjamin Ruff; T.H. Sweat; Charles J. Clarke; Thomas Clark; Walter F. Fundenberg; Jen Powers Howard Hartley; Henry C. Yeager; J.B. White; Henry Clay Frick; E.A. Meyers; C.C. Hussey; D.R. Ewer; C.A. Carpenter; W.L. Dunn; W.L. McClintock; A.V. Holmes.

The sixty odd club members were the leading business tycoons of Western Pennsylvania, and included among their number Frick’s best friend, Andrew Mellon, his attorneys Philander Knox and James Hay Reed, as well as Frick's occasional business partner Andrew Carnegie. The Club members created what was at that time the world's largest earthen dam, behind which formed a private lake called Lake Conemaugh. Less than 20 miles (32 km) downstream from the dam sat the city of Johnstown, and not incidentally, Carnegie Steel's chief competitor, the Cambria Iron and Steel Company, which at that time boasted the world's largest annual steel production.

Poor maintenance, unusually high snowmelt and heavy spring rains combined to cause the dam to give way on May 31, 1889, resulting in the Johnstown Flood. When word of the dam's failure was telegraphed to Pittsburgh, Frick and other members of the club gathered to form the Pittsburgh Relief Committee for tangible assistance to the flood victims, as well as determining to never speak publicly about the club or the flood. This strategy was a success, and Knox and Reed were able to fend off all lawsuits that would have placed blame upon the club’s members. Although Cambria Iron and Steel's facilities were heavily damaged, they returned to full production within a year and a half.

Frick and Carnegie's partnership was strained over actions taken in response to the Homestead Steel Strike, an 1892 labor strike at the Homestead Works of the Carnegie Steel Company, called by the Amalgamated Iron and Steel Workers Union. At Homestead, striking workers, some of whom were armed, had locked the company staff out of the factory and surrounded it with pickets. Frick was known for his anti - union policy and as negotiations were still taking place, he ordered the construction of a solid board fence topped with barbed wire around mill property. The workers dubbed the newly fortified mill "Fort Frick." With the mill ringed by striking workers, Pinkerton agents planned to access the plant grounds from the river. Three hundred Pinkerton detectives assembled on the Davis Island Dam on the Ohio River about five miles (8 km) below Pittsburgh at 10:30 p.m. on the night of July 5, 1892. They were given Winchester rifles, placed on two specially equipped barges and towed upriver with the object of removing the workers by force. Upon landing, the resulting confrontation resulted in a large mêlée between workers and Pinkerton detectives. Several men were killed, nine workers among them, and the riot was ultimately quelled only by the intervention of 8,000 armed state militia. Among working class Americans, Frick's actions against the strikers were condemned as excessive, and he soon became a target of even more union organizers. Because of this strike, some people think he is depicted as the "rich man" in Maxo Vanka's murals in St. Nicholas Croatian Church, but The Society to Preserve the Millvale Murals of Maxo Vanka (which works to preserve the artwork) says it depicts Andrew Mellon.

Inspired by Emma Goldman, the anarchist Alexander Berkman plotted to murder Frick in revenge for the seven steelworkers killed when they were attacked by the Pinkerton detectives hired by Frick to disperse the locked out workers and allow in strikebreakers. On July 23, 1892, Berkman, armed with a revolver and a sharpened steel file, entered Frick's office in downtown Pittsburgh.

Frick, realizing what was happening, attempted to rise from his chair while Berkman pulled a revolver and fired at nearly point blank range. The bullet hit Frick in the left earlobe, penetrated his neck near the base of the skull, and lodged in his back. The impact hurled Frick off his feet, and Berkman fired again, again striking Frick in the neck and causing him to bleed profusely. Carnegie Steel vice president (later, president) John George Alexander Leishman, who was with Frick, was then able to grab Berkman’s arm and deflect a third shot, saving Frick's life.

Frick was seriously wounded, but rose and (with the assistance of Leishman) tackled his assailant. All three men crashed to the floor, where Berkman managed to stab Frick four times in the leg with the pointed steel file before finally being subdued by other employees, who had rushed into the office. As the police entered the room, guns drawn, Frick reportedly yelled, "Don't shoot! Leave him to the law, but raise his head and let me see his face."

Frick was back at work in a week; Berkman was charged and found guilty of attempted murder. Berkman's actions in planning the assassination clearly indicated a premeditated intent to kill, and he was sentenced to 22 years in prison. He eventually served a total of fourteen years, and under pressure from supporters in the labor movement, including the forming of The Berkman Defense Association, was pardoned in 1906.

Negative publicity from the attempted assassination resulted in the collapse of the strike. Approximately 2,500 men lost their jobs, and most of the workers who stayed had their wages halved.

He married Adelaide Howard Childs of Pittsburgh on December 15, 1881. They had four children: Childs Frick (born March 12, 1883), Martha Howard Frick (born August 9, 1885), Helen Clay Frick (born September 3, 1888) and Henry Clay Frick, Jr. (born July 8, 1892). In 1882, after the formation of the partnership with Andrew Carnegie, Frick and his wife bought Clayton, an estate in Pittsburgh. They moved into the estate in 1883. The Frick children were born in Pittsburgh and were raised at Clayton. Two of them, Henry, Jr. and Martha, died in infancy or childhood.

In 1904, he built Eagle Rock, a summer estate at Prides Crossing in Beverly, Massachusetts, on Boston's fashionable North Shore. The 104 room mansion designed by Little & Browne would be razed in 1969.

Frick was an avid art collector whose wealth allowed him to accumulate a significant art collection. By 1905, Henry Clay Frick's business, social, and artistic interests had shifted from Pittsburgh to New York. He took his art collection with him to New York, and served on many corporate boards, which brought him considerable opportunity to continue his lifelong business interests.

For example, as a board member of the Equitable Life Insurance Company, Frick attempted the removal of James Hazen Hyde (the founder's only son and heir) from the United States to France by seeking an appointment for him to become United States Ambassador to France. Frick had engaged a similar stratagem when orchestrating the ouster of the man who had saved his life, John George Alexander Leishman, from the presidency of Carnegie Steel a decade beforehand. In that instance, Leishman had chosen to accept the post as ambassador to Switzerland. Hyde, however, rebuffed Frick's plan. Hyde did, nonetheless, move to France, where he served as an ambulance driver during World War I and lived until the outbreak of World War II. (Coincidentally, while in France, Hyde married Leishman's eldest daughter Marthe.)

In 1910, Frick purchased property at Fifth Avenue and 70th Street to construct a mansion, now known as The Frick Collection. Built to a massive size and covering a full city block, Frick told friends he was building it to "make Carnegie's place look like a miner's shack." In 1914, Frick built the William Penn Hotel in Pittsburgh, Pennsylvania.

To this day, the Frick Collection is home to one of the finest collections of European paintings in the United States. It contains many works of art dating from the pre - Renaissance up to the post - Impressionist eras, but in no logical or chronological order. It includes several very large paintings by J.M.W. Turner and John Constable. In addition to paintings, it also contains an exhibition of carpets, porcelain, sculptures and period furniture. Frick continued to live at both his New York mansion and at Clayton until his death.

Henry Clay Frick died of a heart attack on December 2, 1919, weeks before his 70th birthday. He was buried in Pittsburgh's Homewood Cemetery. That evening, Emma Goldman and Alexander Berkman were attending a farewell banquet in Chicago, their last whirlwind tour before being expelled from the country by federal authorities. At a dinner given in honor of the anarchist movement, a reporter approached Alexander Berkman with news of Frick's death and asked him what he had to say about the man. Referring to his own impending deportation from the U.S., Berkman replied that Frick had been "deported by God. I'm glad he left the country before me."

Frick left a will in which he bequeathed 150 acres (0.61 km²) of undeveloped land to the City of Pittsburgh for use as a public park, together with a $2 million trust fund to assist with the maintenance of the park. Frick Park opened in 1927. Between 1919 and 1942, money from the trust fund was used to enlarge the park, increasing its size to almost 600 acres (2.4 km²). Following the death of Adelaide Howards Childs Frick in 1931, the Frick Collection was opened to the public as a museum in 1935.

Many years after her father's death, Helen Clay Frick returned to Clayton in 1981, and lived there until her death in 1984. After extensive restoration, this property was also opened to the public in 1990 as the Frick Art & Historical Center.