Freya first appears in chapter 1. She is a high-ranking Goddess that is often seen at Lord Odin's side. When Odin summons Lenneth to take up her mantle as Valkyrie, it is Freya who restores that power.
Freya takes Lenneth to Midgard to reacquaint her with her powers as a Valkyrie and the world in general. To Lenneth it its her first time in Midgard, but Freya appears wiser to that fact.
At the end of chapter 5 when Lenneth is being haunted by vague memories of her human life, Freya is seen speaking to Odin, informing him that the first of Lenneth's seals is weakening. This is the first time we are given a look at Freya's cold nature and the way she and Odin may be manipulating Lenneth Valkyrie.
The next time Freya appears is in chapter 11 when her younger sister Frei is killed by Loki. She senses Frei's energy wave disappear and appears alarmed. Odin forbids her to be lured out by this possible trap. Odin then bids Freya to escape and lead the Aesir if he should fall. She refuses, proclaiming that she won't leave his side. He sees her tender feelings in this and remarks on the beauty of her words. When Loki interrupts them, Odin again tells Freya to leave and we see Freya later grieving over the covered body of Lord Odin.
Lenneth Valkyrie, on her way to confront Loki, passes by Freya. Lenneth asks why Freya can cry for Odin and not for humans, pointing out Freya's arrogance toward the humans. Frustrated by Freya's inability or unwillingness to empathize with the humans, Lenneth leaves Freya to her sorrows.
Freya originated in Valkyrie Profile (Playstation) and appears in Valkyrie Profile 2: Silmeria (Playstation 2). She also makes a camero appearance in Star Ocean: Till the End of Time (Playstation 2).