According to Smithsonian.com, humidity causes hydrogen bonds to form between water molecules present in humid air and the proteins in hair, which causes curls and frizz. Those with dry hair are more susceptible to frizz in damp conditions because their hair soaks up moisture like a sponge.
A frizzy appearance occurs when keratin, the protein that makes up hair, starts to behave differently due to chemical reactions. When this occurs, the outer layer of the hair, called the cuticle, swells and becomes rough in texture. On a microscopic level, the cuticle looks like raised roof shingles, but from far away it merely appears frizzy.