Averaging narrows the bandwidth to spikes centered around the trigger rate and its harmonics, ideally with equal weighting, up to the analog bandwidth of the channel (i.e., including aliasing at and above the Nyquist frequency). The spikes have a sinc(f) form, because the average is uniformly weighted (i.e., a "sliding average" filter, ideally -- though a first order IIR is probably most common). The (-3dB) width of each spike is something like Fs/(2*N) for N averages, and the maximum attenuation (valley between spikes) goes as 1/N. (Incoherent random noise adds as RMS, so that the expected SNR gain goes as sqrt(N).)
So, it filters noise at frequencies aperiodic/anharmonic to the trigger rate.
Note that the trigger itself must be very repeatable to get a stable averaged waveform. If the trigger itself is influenced by noise (a trigger comparator is also a mixer, so jitter is introduced by triggering off a noisy waveform), then the resulting sample bandwidth will be smeared by the same amount -- this is especially noticeable at the high harmonics, where the jitter in sample rate is multiplied by N.
An illustration of that might be, a switching waveform with a very sharp rise time and ringing; if averaging attenuates the leading edge and ringing, then the frequency components in that edge are being smeared out by the jitter.
Tim