Quantum antiferromagnets have proven to be some of the cleanest realizations available for theoretical, numerical, and experimental studies of quantum fluctuation effects. At finite temperatures, however, the additional effects of thermal fluctuations in the restricted phase space of a low-dimensional system have received much less attention, particularly the situation in frustrated quantum magnets, where the excitations may be complex collective (bound or even fractionalized) modes. We investigate this problem by studying the thermodynamic properties of the frustrated two-leg $S=\frac{1}{2}$ spin ladder, with particular emphasis on the fully frustrated case. We present numerical results for the magnetic specific heat and susceptibility, obtained from exact diagonalization and quantum Monte Carlo studies, which we show can be rendered free of the sign problem even in a strongly frustrated system and which allow us to reach unprecedented sizes of $L=200$ ladder rungs. We find that frustration effects cause an unconventional evolution of the thermodynamic response across the full parameter regime of the model. However, close to the first-order transition they cause a highly anomalous reduction in temperature scales with no concomitant changes in the gap; the specific heat shows a very narrow peak at very low energies and the susceptibility rises abruptly at extremely low temperatures. Unusually, the two quantities have different gaps over an extended region of the parameter space. We demonstrate that these results reflect the presence of large numbers of multiparticle bound-state excitations, whose energies fall below the one-triplon gap in the transition region.