Video: Unless being covered in impossible-to-clean metal shavings is your idea of a good time, leave this experiment to the professionals. YouTubers What's Inside? and Grant Thompson teamed up to learn two things: What do the guts of an Etch A Sketch look like, and can you make thermite with them? (Spoiler: No.)
The vast majority of an Etch A Sketch is plain old aluminium powder, ground extremely fine. It's what coats the glass screen of the toy and gives it that distinctive grey colour. The only other major component is a metal pointer, the position of which is controlled by a couple of strings attached to the knobs on the faceplate. Moving the knobs (and the pointer, by extension) scrapes the aluminium powder away, creating the drawing.
Which reminds me: a shake-to-erase feature would definitely ease my frustrations with Photoshop.