First and foremost, all these oral hormonal contraceptives principally work by preventing ovulation (the release of an egg from the ovary).
In this way, their primary mode of action is to prevent fertilization of the egg and sperm. In addition to this, they also thicken the cervical mucus which in turns makes it hostile for sperm survival and reduce the ability of motile sperm to "swim" into the uterine cavity and Fallopian tubes.
Lastly, they also decrease the thickness of the endometrium (uterine lining) thereby impairing the implantation of the embryo. This is why these hormonal contraceptives are very effective.