Capsaicin has regulatory approval and trial evidence. Most of what is sold for nerve pain does not.
Neuropathic pain — the burning, shooting, electric quality of diabetic neuropathy, post-herpetic neuralgia, and nerve injury — responds poorly to ordinary painkillers and is genuinely difficult to treat. The options with evidence are prescription drugs (gabapentinoids, tricyclics, duloxetine), and two topical or nutritional approaches.
Capsaicin, topically, is the best-supported plant intervention here. It works by depleting substance P and desensitising TRPV1-expressing nociceptors, and high-concentration patches have regulatory approval for post-herpetic neuralgia and painful diabetic peripheral neuropathy. It hurts when applied — that is the mechanism — and the first week of low-concentration cream is uncomfortable. Do not apply it to the face, near the eyes, or to broken skin, and wash hands thoroughly afterwards.
Alpha-lipoic acid has trials in diabetic peripheral neuropathy showing improvement in symptoms, with the evidence being moderate at best and the trials mostly small and short. It is well tolerated. It is the most reasonable oral adjunct on this page.
What has weak or absent evidence. Many products sold for "nerve support" — B-vitamin combinations beyond correcting a deficiency, various herbal blends, and most of what is marketed for neuropathy. Where a person has a deficiency, correcting it is the intervention; beyond that, the evidence is thin.
The thing that actually changes the disease in diabetic neuropathy. Glycaemic control and, where present, alcohol reduction and B12 status. Stopping the progression is the treatment, and it is unglamorous. A person with diabetes and burning feet needs their glucose control, their B12 checked (metformin lowers it), their alcohol intake reviewed, and their feet examined — not a supplement.
Topical NSAIDs are for musculoskeletal pain, not neuropathy, and are mentioned here only because people apply them to burning feet. They will not help.