Pain is a multifaceted, multisystem disorder that adversely affects neuro-psychological processes. This study compares the effectiveness of central stimulation (transcranial direct current stimulation—tDCS over F3/F4) and peripheral stimulation (transcutaneous electrical nerve stimulation—TENS over the median nerve) in pain inhibition during a cognitive task in healthy volunteers and to observe potential neuro-cognitive improvements. Eighty healthy participants underwent a comprehensive experimental protocol, including cognitive assessments, the Cold Pressor Test (CPT) for pain induction, and tDCS/TENS administration. EEG recordings were conducted pre- and post-intervention across all conditions. The protocol for this study was categorized into four groups: G1 (control), G2 (TENS), G3 (anodal-tDCS), and G4 (cathodal-tDCS). Paired t-tests (p < 0.05) were conducted to compare Pre-Stage, Post-Stage, and neuromodulation conditions, with t-values providing insights into effect magnitudes. The result showed a reduction in pain intensity with TENS (p = 0.002, t-value = −5.34) and cathodal-tDCS (p = 0.023, t-value = −5.08) and increased pain tolerance with TENS (p = 0.009, t-value = 4.98) and cathodal-tDCS (p = 0.001, t-value = 5.78). Anodal-tDCS (p = 0.041, t-value = 4.86) improved cognitive performance. The EEG analysis revealed distinct neural oscillatory patterns across the groups. Specifically, G2 and G4 showed delta-power reductions, while G3 observed an increase. Moreover, G2 exhibited increased theta-power in the occipital region during CPT and Post-Stages. In the alpha-band, G2, G3, and G4 had reductions Post-Stage, while G1 and G3 increased. Additionally, beta-power increased in the frontal region for G2 and G3, contrasting with a reduction in G4. Furthermore, gamma-power globally increased during CPT1, with G1, G2, and G3 showing reductions Post-Stage, while G4 displayed a global decrease. The findings confirm the efficacy of TENS and tDCS as possible non-drug therapeutic alternatives for cognition with alleviation from pain.