Board Thread:Show-Related Questions and Answers/@comment-24301813-20160926205826/@comment-61573-20161111065655

"Elsa's not shooting ice out of her hands. She's creating things from the particles in the air. What you see onscreen is the result of her magic, not the actual magic."

- Marlon West (Frozen Effects Supervisor)

The Art of Frozen, Chapter III, page 125.

So it is real ice and gusts of wind, not magic.

So far I'm assuming the Marshmallow we see onscreen wasn't the original, but a copy created by Elsa out of desperation with only a fraction of the power she imbued the first Marshmallow with. If that is true, the original Marshmallow might be even more formidable.

Also, Marshmallow is actually solid, the snow covering is just hiding his skeleton which is composed of hardened supercooled ice. Which gets sharper (his claws) and extends spikes/armor plating the more angry he becomes. And it is suggested he heals as well, because he reattaches a severed leg in the movie.