Not to break my own tie, but King Arthur Flour agrees with me, finding that it takes so long to cook the filling of a frozen apple pie that the crust dries out. They have a wonderful freezing-apple-pie primer at http://www.kingarthurflour.com/blog/2010/12/09/freeze-the-fastest-way-to-fresh-baked-fruit-pie/
I'd actually vote for baking it frozen and just increasing the bake time. Hoping someone else weighs in to break the tie, because its actually not something I do. My gut instinct, though, is that if you thaw it first, it will get soggy.
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