1. Go to File>New. Open a new file of about 2400x2400pixels with 300dpi. 

2. You can change your background color if you want. First, we must set the brush. Select the Brush tool  and press F5 to view the Brush Presets options. Set the diameter to about 133px and set the spacing to 90%. Then click for the foreground to choose your color, mine is #316085.




3. we are going to make first the upper horizontal of the frame. Click the Create New Layer button at the bottom of the layer palette or press Shift+CTRL+N in your keyboard. It's ok if we don't have to rename it. Then click+hold+drag now the brush horizontally (..mine is from left to right). Here I made 12 circles.





4. Create again new layer. This time, it is for the vertical. Click+hold+drag also the brush vertically (..top to bottom). I prefer to make it a little shorter than the horizontal one. I made 9 circles.  





5. With this Layer 2 selected, duplicate it. Select the Move tool . Press CTRL+J in your keyboard and drag this duplicate to the other side. Then select now the Layer 1 and duplicate it also to be place at the bottom to complete the frame.






6. Select now these 4 layers. Click on the Layer 2 copy and hold Shift key then click on Layer 1. This will automatically select the layers inclusively. Then right click anywhere on the layer name and choose the Merge Layers. These circles are now in one layer. Now, name it as "scallop".





7. Our next step is not really necessary but i prefer to set  guides. Press CTRL+R to reveal the Ruler. Then point the mouse at the ruler and click+drag to position the guide. Make guides like in the picture below. After you have set the guides, select the Rectangular Marquee tool  and drag a selection inside. Then press Delete.
 



8. So this will be looking like this now:






9. Apply Stroke. Click on the Add Layer Style button and choose Stroke. Do the following settings: Click OK when you are done.





10. Then out of this effect, create the layer. Right click on the Stroke effect and choose Create Layer.



11. Select the Stroke Layer and apply some texture to it. Go to Filter>Texture>Texturizer. Do the following settings: Click OK when you are done.






12. Add also drop shadow. Just use the default settings. Click OK.





13. Now, select the Scallop layer. Apply a little Emboss. Click the Add Layer Style at the bottom of the layer palette and choose Bevel and Emboss. Do the following settings: Click OK when you are done.





Let us now take a look what we have here. Pretty simple and good. Never mind about the inner color. This is just for the preview.





To complete the scalloped photo frame, merge the layers except  the Background layer. And you can crop or trim it if you want. Hide the Background layer and you can now save your work as .png.

If you want to have different color of your scalloped photo frame, duplicate it several times and use the HUE/Saturation slider options. Make sure that you have clipped the HUE/Saturation to a particular layer.





And here is my sample by dragging a photo behind this scalloped photo frame.