Let $h$ be the function $\Bbb R\to\Bbb R$,
$$
h(x) =
\sqrt{f(x)}=\int_{0}^{x}e^{-t^2}\; dt \ .
$$
Then we have:
$$
\begin{aligned}
f'(x)
&= 2h(x)\; h'(x)=2h(x)\cdot e^{-x^2}\ ,\\
g'(x)
&=
\frac{\partial}{\partial x}
\int_{0}^{1}\frac{e^{-x^2(t^{2}+1)}}{t^2+1}\;dt
\\
&=
\int_0^1
\frac{\partial}{\partial x}
\frac{e^{-x^2(t^{2}+1)}}{t^2+1}\;dt
\\
&=
\int_0^1
-2x\;e^{-x^2(t^2+1)}\;dt
=
-2\;e^{-x^2}\;\int_{t\in[0,1]}
e^{-(tx)^2}\;\underbrace{x\; dt}_{d(tx)}
\\
&\qquad\text{ Substitution: }u=tx\ ,\ du=x\; dt\ ,\
u\in[0,x]\ ,
\\
&=-2\; e^{-x^2}\int_{u\in[0,x]}e^{-u^2}\; du=-2e^{-x^2}\; h(x)\ .
\\[3mm]
&\qquad\text{ This implies: }
\\
f'(x)+g'(x) &= 0\ .
\end{aligned}
$$
So the function $f+g$ is a constant function. We only need to compute it in a special point, say in zero. Of course $f(0)=h(0)^2=0^2=0$, and for $g(0)$ we have to compute
$$
g(0)
=\int_0^1
\frac{e^{-0^2(t^{2}+1)}}{t^2+1}\;dt
=\int_0^1
\frac1{t^2+1}\;dt\ .
$$
Which is the value of the last integral?!