[guided]The point of this estimate is that the lower central index behaves additively under brackets. The induction must be arranged carefully: induction on the total index $a+b$ would be circular, because the Jacobi identity naturally produces the pair $(a-1,b+1)$, which has the same total index. Instead, we induct on the first index $a$, and at each fixed value of $a$ we prove the assertion simultaneously for every $b \geq 1$.
For $a=1$ and any integer $b \geq 1$, the statement is exactly the recursive definition of the lower central series. Since $\gamma_1(\mathfrak g)=\mathfrak g$, we have
\begin{align*}
[\gamma_1(\mathfrak g),\gamma_b(\mathfrak g)]
=
[\mathfrak g,\gamma_b(\mathfrak g)]
=
\gamma_{b+1}(\mathfrak g)
=
\gamma_{1+b}(\mathfrak g).
\end{align*}
Thus the desired containment holds for $a=1$ for every $b$.
Now assume $a \geq 2$ and suppose the estimate is known with first index $a-1$ and arbitrary second index. More explicitly, for every integer $c \geq 1$ we assume
\begin{align*}
[\gamma_{a-1}(\mathfrak g),\gamma_c(\mathfrak g)]
\subseteq
\gamma_{a-1+c}(\mathfrak g).
\end{align*}
We must prove
\begin{align*}
[\gamma_a(\mathfrak g),\gamma_b(\mathfrak g)]
\subseteq
\gamma_{a+b}(\mathfrak g)
\end{align*}
for an arbitrary integer $b \geq 1$.
The definition
\begin{align*}
\gamma_a(\mathfrak g)=[\mathfrak g,\gamma_{a-1}(\mathfrak g)]
\end{align*}
means that every element of $\gamma_a(\mathfrak g)$ is a $k$-linear combination of brackets $[x,u]$ with $x \in \mathfrak g$ and $u \in \gamma_{a-1}(\mathfrak g)$. Since the Lie bracket is bilinear, it is enough to prove the containment for generators of the bracket subspace. So take
\begin{align*}
x \in \mathfrak g,
\qquad
u \in \gamma_{a-1}(\mathfrak g),
\qquad
v \in \gamma_b(\mathfrak g).
\end{align*}
We will prove that $[[x,u],v] \in \gamma_{a+b}(\mathfrak g)$.
The Jacobi identity rewrites this bracket as a difference of two brackets whose depths can be controlled separately:
\begin{align*}
[[x,u],v]=[x,[u,v]]-[u,[x,v]].
\end{align*}
For the first term, apply the induction hypothesis with $c=b$. Since $u \in \gamma_{a-1}(\mathfrak g)$ and $v \in \gamma_b(\mathfrak g)$, we get
\begin{align*}
[u,v]
\in
[\gamma_{a-1}(\mathfrak g),\gamma_b(\mathfrak g)]
\subseteq
\gamma_{a+b-1}(\mathfrak g).
\end{align*}
Bracketing with $x \in \mathfrak g$ then gives, by the recursive definition of the lower central series,
\begin{align*}
[x,[u,v]]
\in
[\mathfrak g,\gamma_{a+b-1}(\mathfrak g)]
=
\gamma_{a+b}(\mathfrak g).
\end{align*}
For the second term, first use the definition of the lower central series to locate the inner bracket:
\begin{align*}
[x,v]
\in
[\gamma_1(\mathfrak g),\gamma_b(\mathfrak g)]
=
[\mathfrak g,\gamma_b(\mathfrak g)]
=
\gamma_{b+1}(\mathfrak g).
\end{align*}
Now apply the same induction hypothesis with $c=b+1$. This is valid because the induction is on the first index $a$, not on the sum $a+b$; the first index has decreased from $a$ to $a-1$. Therefore
\begin{align*}
[u,[x,v]]
\in
[\gamma_{a-1}(\mathfrak g),\gamma_{b+1}(\mathfrak g)]
\subseteq
\gamma_{a+b}(\mathfrak g).
\end{align*}
Both terms in the Jacobi decomposition lie in the $k$-linear subspace $\gamma_{a+b}(\mathfrak g)$, so their difference also lies there:
\begin{align*}
[[x,u],v]
=
[x,[u,v]]-[u,[x,v]]
\in
\gamma_{a+b}(\mathfrak g).
\end{align*}
By bilinearity and the spanning definition of $[\gamma_a(\mathfrak g),\gamma_b(\mathfrak g)]$, every element of that bracket subspace lies in $\gamma_{a+b}(\mathfrak g)$. This completes the induction on $a$ and proves the estimate for all integers $a,b \geq 1$.[/guided]