One POPULAR theory is that the electric current stimulates nerve cells that block the transmission of pain signals, modifying your perception of pain.
The other theory is that nerve stimulation raises the level of endorphins, which are the body's natural pain-killing chemical. The endorphins then block the perception of pain.
According to the Cleveland Clinic, studies suggest that using high frequency TENS boosts impulse rates which, in turn, convey a stronger input to central nervous system. This will restrain the nociceptive transmission of second-order neurons to the brain based on the gate control theory of pain.
The National Institutes of Health (NIH) defines it this way- "To alleviate pain perception, TENS employs a low voltage electrical current to the skin via surface electrodes. This stimulates afferent nerve fibers."
Here is how it works- Gamma band is a kind of brain wave which consists of very rapid oscillations. It has been found that gamma band has an important role in pain perception as well as pain processing.
Scientists believe that high frequency TENS, as an analgesic modality, might change in the gamma band activity.
It has been hypothesized that gamma oscillations would play a crucial role in cortical integration, as well as in pain perception and processing
"What makes TENS worthwhile is that this technique, while substantially relieving acute and chronic pain, is noninvasive, inexpensive, safe and easy to use."