I would like to add to Eric's answer by showing that the result is true for finite-dimensional complex Lie algebras regardless of whether or not the Lie algebras in question are semisimple. Namely, I'll show that if $\mathfrak{g}$ and $\mathfrak{h}$ are finite-dimensional complex Lie algebras (not necessarily semisimple) then every finite-dimensional irreducible representation $M$ of $\mathfrak{g} \oplus \mathfrak{h}$ is isomorphic to the tensor product of representations $M_1$ of $\mathfrak{g}$ and $M_2$ of $\mathfrak{h}$.
This is a consequence of the following corollary of Lie's theorem, whose proof can be found in the 9th chapter of Fulton-Haris (see Proposition 9.17).
Proposition. Let $\mathfrak{g}$ be a complex Lie algebra. Then every irreducible representation $M$ is the tensor product of a 1-dimensional representation of $\mathfrak{rad(g)}$ and an irreducible representation of $\mathfrak{g/rad(g)}$, where $\mathfrak{rad(g)}$ is the radical of $\mathfrak{g}$.
In our case, this implies that $M = Z \otimes N$ where $Z$ is a 1-dimensional representation of $\mathfrak{rad(g \oplus h)}$ and N is an irreducible representation of $\frac{\mathfrak{g \oplus h}}{\mathfrak{rad(g \oplus h)}}$. Now recall that $\mathfrak{rad(g \oplus h)} = \mathfrak{rad(g)} \oplus \mathfrak{rad(h)}$ and $\frac{\mathfrak{g \oplus h}}{\mathfrak{rad(g \oplus h)}} = \mathfrak{g / rad(g)} \oplus \mathfrak{h / rad(h)}$.
As Eric indicated, since $\mathfrak{g/rad(g)}$ and $\mathfrak{h/rad(h)}$ are finite-dimensional semisimple complex Lie algebras, it follows from the character theory of compact Lie groups and the existence of the compact forms that $N = N_1 \otimes N_2$, where $N_1$ is an irreducible representation of $\mathfrak{g/rad(g)}$ and $N_2$ is an irreducible representation of $\mathfrak{h/rad(h)}$. In addition, since $Z$ is 1-dimensional, $Z = Z_1 \otimes Z_2$, where $Z_1 = \operatorname{Res}_{\mathfrak{rad(g)}}^{\mathfrak{rad(g) \oplus rad(h)}} Z$ and $Z_2 = \operatorname{Res}_{\mathfrak{rad(h)}}^{\mathfrak{rad(g) \oplus rad(h)}} Z$.
If we then take $M_1 = Z_1 \otimes N_1$ and $M_2 = Z_2 \otimes N_2$ we find $M = Z \otimes N = (Z_1 \otimes Z_2) \otimes (N_1 \otimes N_2) = (Z_1 \otimes N_1) \otimes (Z_2 \otimes N_2) = M_1 \otimes M_2$. It is not hard to verify that $M_1$ and $M_2$ are indeed irreducible representations of $\mathfrak{g} = \mathfrak{rad(g) \oplus g / rad(g)}$ and $\mathfrak{h} = \mathfrak{rad(h) \oplus h / rad(h)}$ respectively, which concludes our proof.
I would like to conclude the answer with some comments on potential generalizations of this result. First of all, I am fairly certain that the proposition of Fulton-Harris holds for Lie algebras over any algebraicly closed field of characteristic zero, given that it is a pretty straightforward consequence of Lie's theorem. I'm also confident that if $\mathfrak{g}$ and $\mathfrak{h}$ are finite-dimensional semisimple Lie algebras over an algebraic closed field $k$ of characteristic $0$ then the finite-dimensional irreducible representations of $\mathfrak{g \oplus h}$ are all given by tensor products, so that our proof applies for Lie algebras over $k$ -- even though Eric's proof doesn't work in this setting.
Furtheremore, as far as I can tell the proposition in Fulton-Harris holds for infinite-dimensional representations too. Our argument may thus be generalized to the infinite-dimensional setting.