Here are the relevant settings:
pane-active-border-style fg=colour,bg=colour Set the pane border colour for the currently active pane.
So, try adding something like this to your
set-option -g pane-active-border-style fg=blue
That will set a blue border around the active pane. The
pane-active-border-style bg=colour option can be used for a more visible solution, as well.