(This problem is from chapter 9 of J. P. May's A Concise Course in Algebraic Topology.)
At first I thought of showing that the exact sequence $$ \cdots \to \pi_{n+1}(X \times Y) \to \pi_{n+1}(X \times Y, X \vee Y) \overset{\partial}{\to} \pi_n(X \vee Y) \\ \to \pi_n(X \times Y) \to \pi_n(X \times Y, X \vee Y) \to \cdots $$ splits; the result would then follow as $\pi_n(X \times Y) \cong \pi_n(X) \oplus \pi_n(Y)$ for $n \geq 2$. Since $\partial$ is defined by restricting maps $$(I^n, \partial I^n, J^n) \to (X \times Y, X \vee Y, *)$$ to maps $$(I^{n-1} \times \{1\}, \partial I^{n-1} \times \{1\}) \to (X \vee Y, *)$$ where $J^n := \partial I^{n-1} \times I \cup I^{n-1} \times \{0\} \subset I^n$ for $n \geq 2$, perhaps I could find some retract $r$ with $r \circ \partial = \text{id}$, but it doesn't seem possible since information is lost by restricting the maps.
Also, $\pi_{n+1}(X \times Y)$ and $\pi_n(X \times Y, X \vee Y)$ need not be trivial, and I seem to need an exact sequence of the form $$0 \to A \to B \to C \to 0$$ to talk about splitting meaningfully.
I don't know what I'm doing actually. Please send help.
EDIT: See also the proof of Theorem 6.10.5 in tom Dieck's Algebraic Topology.