We may prove it by bijection.
The left side counts the number of ways in which we can choose a pair $(k, X)$ where $k \in \{0, \ldots, n\}$ and $X$ is a subset of $m$ elements in $[m+k] = \{0, \ldots, m+k-1\}$.
The right side counts the number of ways in which we can choose a subset $Y$ of $m+1$ elements in $[m+n+1] = \{0,\ldots, m+n\}$.
By letting $m+k$ in the left correspond to the maximum element in $Y$, we get a bijection.
More precisely, for each $k$ and each $m$-subset $X$ of $[m+k]$, we associate $(k,X)$ with the set $Y = X \cup \{m+k\}$.
Conversely, for each $(m+1)$-subset $Y$ of $[m+n+1]$, we associate it with the pair $(k,X)$ given by $k = \max Y - m$ and $X = Y-\{m+k\}$.
You can check that these maps are well defined, and that one is the inverse of the other.