Synthetic dimensions have garnered widespread interest for implementing high dimensional classical and quantum dynamics on lower dimensional geometries [1][2][3]. Synthetic frequency dimensions [4,5], in particular, have been used to experimentally realize a plethora of bulk physics effects, such as effective gauge potentials, nontrivial Hermitian [6] as well as non-Hermitian topology [7], spin-momentum locking [6], complex long-range coupling [8,9], unidirectional frequency conversion [10], and four-dimensional lattices [11,12]. However, in synthetic frequency dimensions there has not been any demonstration of boundary effects which are of paramount importance in topological physics due to the bulk edge correspondence [13][14][15], since systems exhibiting synthetic frequency dimensions do not support well-defined sharp boundaries. Here we theoretically elucidate a method to construct boundaries in the synthetic frequency dimension of dynamically modulated ring resonators by strongly coupling it to an auxiliary ring, and provide an experimental demonstration of this method. We experimentally explore various physics effects associated with the creation of such boundaries in the synthetic frequency dimension, including confinement of the spectrum of light, the discretization of the band structure, and the interaction of such boundaries with the topologically protected one-way chiral modes in a quantum Hall ladder. The incorporation of boundaries allows us to observe topologically robust transport of light along the frequency axis, which shows that the frequency of light can be controlled through topological concepts. Our demonstration of such sharp boundaries fundamentally expands the capability of exploring topological physics, and is also of importance for other applications such as classical and quantum information processing in synthetic frequency dimensions.