(1) Electrohydraulic, electromagnetic, or piezoelectric devices are used to translate energy into acoustic waves during extracorporeal shock wave treatment (ESWT) for chronic lateral epicondylitis (CLE) of the elbow (elbow tendonitis or tennis elbow). These waves may help to accelerate the healing process via an unknown mechanism. (2) Results from randomized controlled trials have been conflicting. Half of the studies showed statistically significant improvement in pain in the treatment group, and half of the studies had data showing no benefit over placebo for any measured outcomes. (3) Limited evidence shows that ESWT is cheaper than arthroscopic surgery, open surgery, and other conservative therapies, such as steroid infiltrations and physiotherapy, that continue for more than six weeks. (4) The lack of convincing evidence regarding its effectiveness does not support the use of ESWT for CLE.