Moving to higher and higher frequencies implies you severely increase the energy scale you are working at. At low energies you can simply apply classical electromagnetism. But at some point this description doesn't suffices. You will notice that quantum effects will come into play and the theoretical framework of classical electrodynamics seizes to apply. On a theoretical level, it gets replaced by quantum electrodynamics (QED). In this theory the coupling constant is energy dependent (it is said to be "running") and quantum mechanics severely alters the behavior of the electric and magnetic field. The Lamb shift is probably the best known experimental signature of QED.
At some energy scale, QED also starts to break down and unification with other forces kicks in. Quantum electrodynamics unifies with the weak nuclear forces, and both are replaced by the single theory of the electroweak force. Here, you can no longer talk about photons and the electromagnetic field alone. Continuing the process of increasing the energy scale will, very likely, eventually lead to unification with the strong force as well -- although we do not have singled out a specific theory in this regime. Beyond these energyscales it all becomes very speculative.
Particle physics completely resolves around trying to understand what happens at the large frequency scales. It's been a very interesting question for over 100 years!