[guided]Assume that both factor spaces are complete. To prove that $(X\times Y,d_p)$ is complete, we must start with an arbitrary Cauchy sequence in the product and prove that it converges in the [product metric](/page/Product%20Metric).
Let $z:\mathbb N\to X\times Y$ be a $d_p$-Cauchy sequence. Since every element of $X\times Y$ has two coordinates, write $z(n)=(x_n,y_n)$, where $x:\mathbb N\to X$ is the first-coordinate sequence and $y:\mathbb N\to Y$ is the second-coordinate sequence.
The first point is that Cauchy behavior in the product controls Cauchy behavior in each coordinate. From the coordinate inequalities proved above, for all $m,n\in\mathbb N$,
\begin{align*}
d_X(x_m,x_n)\le d_p(z(m),z(n))
\end{align*}
and
\begin{align*}
d_Y(y_m,y_n)\le d_p(z(m),z(n)).
\end{align*}
Because $z$ is $d_p$-Cauchy, for every $\varepsilon>0$ there is $N\in\mathbb N$ such that $d_p(z(m),z(n))<\varepsilon$ whenever $m,n\ge N$. The two displayed inequalities then give $d_X(x_m,x_n)<\varepsilon$ and $d_Y(y_m,y_n)<\varepsilon$ for all $m,n\ge N$. Hence $x$ is Cauchy in $(X,d_X)$ and $y$ is Cauchy in $(Y,d_Y)$.
Now the completeness hypotheses are used exactly once: since $(X,d_X)$ is complete, there exists $x_\ast\in X$ such that $x_n\to x_\ast$ in $d_X$; since $(Y,d_Y)$ is complete, there exists $y_\ast\in Y$ such that $y_n\to y_\ast$ in $d_Y$. The only remaining question is whether coordinate convergence implies product convergence for this particular product metric. We verify this directly from the formula.
Let $\varepsilon>0$. First suppose $1\le p<\infty$. Since $x_n\to x_\ast$, there is $N_X\in\mathbb N$ such that
\begin{align*}
d_X(x_n,x_\ast)<\frac{\varepsilon}{2^{1/p}}
\end{align*}
for all $n\ge N_X$. Since $y_n\to y_\ast$, there is $N_Y\in\mathbb N$ such that
\begin{align*}
d_Y(y_n,y_\ast)<\frac{\varepsilon}{2^{1/p}}
\end{align*}
for all $n\ge N_Y$. For $n\ge N:=\max\{N_X,N_Y\}$, both estimates hold simultaneously. Substituting them into the finite-$p$ product formula gives
\begin{align*}
d_p(z(n),(x_\ast,y_\ast))^p=d_X(x_n,x_\ast)^p+d_Y(y_n,y_\ast)^p<\frac{\varepsilon^p}{2}+\frac{\varepsilon^p}{2}=\varepsilon^p.
\end{align*}
Because both sides are nonnegative, taking $p$th roots yields $d_p(z(n),(x_\ast,y_\ast))<\varepsilon$.
Now suppose $p=\infty$. The product distance is controlled by the larger coordinate distance, so we ask that each coordinate distance be smaller than $\varepsilon$. Choose $N_X\in\mathbb N$ such that $d_X(x_n,x_\ast)<\varepsilon$ for $n\ge N_X$, and choose $N_Y\in\mathbb N$ such that $d_Y(y_n,y_\ast)<\varepsilon$ for $n\ge N_Y$. Then for every $n\ge N:=\max\{N_X,N_Y\}$,
\begin{align*}
d_\infty(z(n),(x_\ast,y_\ast))=\max\{d_X(x_n,x_\ast),d_Y(y_n,y_\ast)\}<\varepsilon.
\end{align*}
Thus $z(n)\to (x_\ast,y_\ast)$ in the product metric. Since the original Cauchy sequence $z$ was arbitrary, every Cauchy sequence in $(X\times Y,d_p)$ converges, and therefore $(X\times Y,d_p)$ is complete.[/guided]