Thawed Gaussian wavepackets have been used in recent years to compute approximations to the thermal density matrix. From a numerical point of view, it is cheaper to employ frozen Gaussian wavepackets. In this paper, we provide the formalism for the computation of thermal densities using frozen Gaussian wavepackets. We show that the exact density may be given in terms of a series, in which the zeroth order term is the frozen Gaussian. A numerical test of the methodology is presented for deep tunneling in the quartic double well potential. In all cases, the series is observed to converge. The convergence of the diagonal density matrix element is much faster than that of the antidiagonal one, suggesting that the methodology should be especially useful for the computation of partition functions. As a by product of this study, we find that the density matrix in configuration space can have more than two saddle points at low temperatures. This has implications for the use of the quantum instanton theory.