Much is said in the other answer, but I want to amend a crucial missing point, whose importance is expressed in my lengthy recent answer to Isomorphic Lie algebras and their Representations (particularly its "Final Footnote").
Indeed the complexification of the Lorentz algebra is isomorphic to two copies of $\mathfrak{sl}_2(\mathbb C)$,
$$\mathfrak{so}(1,3)_\mathbb C \simeq \mathfrak{sl}_2(\mathbb C) \oplus \mathfrak{sl}_2(\mathbb C).$$
Now complex irreps of $\mathfrak{sl}_2(\mathbb C)$ are indexed, via highest weight theory, by non-negative integers $j \in \mathbb Z_{\ge0}$ (math notation) or half-integers $j \in \frac12 \mathbb Z_{\ge 0}$ (physics notation). Irreps of direct sums are tensor products of irreps of the factors, so the complex irreps of the above complexification are indeed indexed by pairs $(j_1,j_2)$ of non-negative integers (math) or half-integers (physics).
Now for each real form of the complex Lie algebra above, this means that its complex irreps are also given, via restriction, by those irreps indexed by $(j_1, j_2)$. However, to see how conjugation acts on these irreps, we must have a closer look at what real form we are looking at.
Namely, besides our Lorentz algebra
$\mathfrak{g}_0 = \mathfrak{so}(3,1)$
there are other real Lie algebras which have the above complexification, notably
$\mathfrak{g}_1 = \mathfrak{sl}_2(\mathbb R) \oplus \mathfrak{sl}_2(\mathbb R)$ and
$\mathfrak{g}_2 = \mathfrak{so}_4 \simeq \mathfrak{su}_2\oplus \mathfrak{su}_2$.
$\mathfrak{g}_1$ is a split and $\mathfrak{g}_2$ is a compact form. All the Satake-Tits diagrams of these forms have underlying Dynkin diagram of type $D_2 = A_1 \times A_1$, i.e. two vertices without an edge, where
for the quasi-split $\mathfrak{g}_0$ there is an arrow between the vertices, and both vertices are white,
for the split $\mathfrak{g}_1$ there are no arrows and both vertices are white,
for the compact $\mathfrak{g}_2$ there are no arrows and both vertices are black.
The general outline in https://math.stackexchange.com/a/3298058/96384 now says that on $\mathfrak{g}_0$, because of that arrow, complex conjugation switches the two basis roots in $D_2$, hence the two fundamental weights, hence it turns the irrep indexed by $(j_1, j_2)$ into the one indexed by $(j_2, j_1)$.
But both for $\mathfrak{g}_1$ and $\mathfrak{g_2}$, conjugation acts as identity on the roots, hence on the weights, hence just leaves $(j_1, j_2)$ as itself; which means for those, all irreps are actually equivalent to their own conjugate.
So the fact that for the Lorentz Lie algebra, conjugation acts as described, is subtle, and really (pun intended) has more to do with its actual real structure. As in the other answer, and in the first part of my first answer quoted at the beginning, one can of course also see that by "plugging in [actual matrices of $\mathfrak{so}(3,1)$] and seeing what happens".