Odd and the Frost Giants makes extensive use of Norse mythology throughout the entire plot, presenting the gods and their realm as not just myth, but tangible reality. Through works like The Prose Edda and Poetic Edda as well as archeological and medieval records, a variety of stories from Norse mythology have survived to the modern day, including details about Norse cosmology, creation myths, and myths surrounding the apocalyptic war between the gods known as Ragnarok. Gaiman makes Norse mythology accessible to younger or newer readers by borrowing small elements from many of these myths, but Odd’s story also functions as a new myth in itself. Even though Odd is human, unlike the protagonists of the traditional myths, the novel’s events closely map to the structure of many other myths, weaving together plotlines and recognizable elements without relying too much on the reader’s preexisting knowledge.

Although the book is written accessibly, knowledge of the myths it references also helps develop the humor and depth of the book. One example is Loki, who references taking the form of a female horse; the book never explicitly states it, but the outcome of this transformation is that Loki gave birth to a foal.