Quote From sneaks:
you're a genius Wal. How does the deep freeze gel work then?
Right, deep freeze cream. I think it typically has menthol in it, which is a solid at room temperature but melts and evaporates at human body temperature. When the menthol evaporates it draws body heat away from where it is applied, which creates the sensation of cold. Now, the nerves the convey pain in your skin also convey pain signals, so like with the deep heat, you get counter irritation and it blocks them (because they're busy detecting the cold) from sending pain signals. So it works in sort of the same way.