He comes from a famous family background; his father Peter won a gold medal at the 1980 Olympic Games in handball, and his mother Christina, also a handball player, won the silver at the 1976 Summer Olympics and bronze at the 1980 Games.
Rost started his career at Werder Bremen before moving to Schalke 04 in July 2002. He was a regular first-choice keeper at Schalke until he lost his starting position to youngster Manuel Neuer in late 2006, so in January 2007 he moved to then struggling Hamburger SV where he immediatly became no.1 and helped the team move from last to 7th place. His good form has continued since, which made HSV fans to nickname him "Frost". He has four caps with Germany, making his debut against the United States in 2002.