Rinse the chicken (see notes), pat it dry, and place it in a large bowl. Sprinkle it with salt and pepper.
Mix the olive oil, Worcestershire sauce, onion powder, garlic powder, thyme, oregano, rubbed sage, cayenne, mustard powder, paprika, and celery seeds in a small mixing bowl.
Rub the marinade on the chicken legs, then let them marinate in the refrigerator for around 30 minutes while the smoker heats up. You can also season the chicken the night before and marinate it in the fridge until the next day, then let them warm up at room temperature while the pellet grill is preheating.
If the chicken legs are in the fridge, remove them and let them warm up at room temperature for about 10 minutes before smoking.
Make sure the smoker has a full hopper; applewood and hickory are good choices. Preheat it to 225°F (107°C), mine takes up to 15 minutes.
Brush the grates with oil to prevent sticking, then place chicken legs directly on the grates.
Close the lid and smoke them for 1-2 hours, or until the internal temperature reaches 175-190℉ (80-88℃).
Once they're done, take them out of the smoker and put them on a plate.
Tent loosely with aluminum foil and let them rest for 10 minutes so the juices can redistribute for tender, juicy chicken legs.