Since the proof comes directly from Kelenner's comment, I post this answer in community wiki, so as to not earn undeserved points.
We assume $f(0)=1$ and
$$\forall x,y \in \Bbb R, f(x-y)=f(x)f(y)-g(x)g(y)$$
Notice that we use nowhere the assumption that $f$ or $g$ is continuous.
Then, for all $x\in\Bbb R$,
$$1=f(0)=f(x-x)=f(x)^2-g(x)^2$$
And
$$f(2x)=f(x)f(-x)-g(x)g(-x)$$
Also, $\forall x,y\in \Bbb R$,
$$f(y-x)=f(x)f(y)-g(x)g(y)=f(x-y)$$
Hence $\forall x\in\Bbb R$, $f(x)=f(-x)$, that is, $f$ is even.
Therefore, $f(-x-y)=f(x+y)$, or, $\forall x,y\in \Bbb R$,
$$f(-x)f(y)-g(-x)g(y)=f(x)f(-y)-g(x)g(-y)$$
Hence, $\forall x,y\in \Bbb R$, $g(-x)g(y)=g(x)g(-y)$.
Now, let's suppose $g(y_0)\neq0$ for some $y_0 \in \Bbb R$.
We have then, $\forall x\in\Bbb R$, such that $g(x)\neq0$,
$$\frac{g(-x)}{g(x)}=\frac{g(-y_0)}{g(y_0)}=a$$
Where $a$ is a constant real number.
And if $g(x)=0$, then from $g(-x)g(y_0)=g(x)g(-y_0)=0$ and $g(y_0)\neq0$, we have that $g(-x)=0$ too.
That is, $\forall x\in\Bbb R$, $g(-x)=ag(x)$.
But then $\forall x\in\Bbb R$, $g(x)=ag(-x)=a^2g(x)$, and since $g(y_0)\neq0$, we can simplify and $a^2=1$, or $a=\pm1$. Thus the function $g$ is either even or odd.
If $g$ is even, then $\forall x\in\Bbb R$,
$$f(2x)=f(x)^2-g(x)^2=1$$
So $f$ is constant ($=1$).
But then $\forall x\in\Bbb R$, $g(x)^2=f(x)^2-f(2x)=0$.
Hence, if $g$ is even, it's the null function.
But that means $g$ is always odd, since either it is odd, either it is null (thus also odd).