This review article is devoted to the interplay between frustrated magnetism and quantum critical phenomena, covering both theoretical concepts and ideas as well as recent experimental developments in correlated-electron materials. The first part deals with local-moment magnetism in Mott insulators and the second part with frustration in metallic systems. In both cases, frustration can either induce exotic phases accompanied by exotic quantum critical points or lead to conventional ordering with unconventional crossover phenomena. In addition, the competition of multiple phases inherent to frustrated systems can lead to multi-criticality.