Freiburg winger Roland Sallai headed the visitors ahead after 50 minutes behind closed doors in Gelsenkirchen, then added a second 18 minutes later when he chipped home a perfectly-timed pass.
Having only ended their own nine-match winless streak on Saturday with a 2-0 home victory against Arminia Bielefeld, Freiburg are up to 10th in the table.
Schalke have now not won a game since January.
They are closing in fast on the Bundesliga record, held by Tasmania Berlin, who in their one Bundesliga season, went 31 matches without winning in 1965/66.
With a third of the season gone, Schalke are six points from safety and on course for relegation after 30 unbroken seasons in Germany's top tier.