It certainly sounds like pseudo-science, but that's why we do science - because the weirdness of something is not a particularly good reason to dismiss it (quantum! many-universes!). Sometimes we don't understand enough about how things work to know why they work, but finding out whether or not they work is a good place to start.
Tori Rodriguez at Scientific American:
Imagine you are trying to put a traumatic event behind you. Your therapist asks you to recall the memory in detail while rapidly moving your eyes back and forth, as if you are watching a high-speed Ping-Pong match. The sensation is strange, but many therapists and patients swear by the technique, called eye movement desensitization and reprocessing (EMDR). Although skeptics continue to question EMDR's usefulness, recent research supports the idea that the eye movements indeed help to reduce symptoms of post-traumatic stress disorder (PTSD).