The Land of Frost (霜の国, Shimo no Kuni) is located in between the Lands of Hot Water and Lightning. The Frost Daimyō and his people evacuated the country during the Fourth Shinobi World War. It contains the ninja village Shimogakure. During the Fourth Shinobi World War, the villagers were relocated to Konohagakure because it was predicted that the area might become the site of heavy fighting during the war.
Itachi Shinden: Book of Dark Night
In Itachi Shinden: Book of Dark Night, the Land of Frost fails to discuss an alliance meeting with the Land of Fires' Konoha-nin. The Shimo-nin wind up killing their comrades, and having Itachi, Kakashi, Sugaru and Tenzō wipe them out.