I suppose that what’s below is just the same as the answer of @LordSharkTheUnknown, but maybe it’s different enough to give some help.
Let $F$ have cardinality $q$, and let the common degree of $f$ and $g$ be $d$. Then the field $K_f$ gotten by adjoining a root of $f$ is of degree $d$ over $F$, and consequently of cardinality $q^d$. But the multiplicative group of $K_f$, call it $K_f^\times$, is a cyclic group of order $q^d-1$, contained in the zero-set of $X^{q^d-1}-1$ (in some fixed algebraic closure of $F$), and therefore equal to this set, since they have the same cardinality. Thus $K_f$ is the zero-set of $X^{q^d}-X$. Same goes for $K_g$, the field gotten by adjoining a root of $g$ to $F$.
This not only proves that if $\alpha$ and $\beta$ are roots of $f$, then both generate the same field, so that $K_f$ is normal, similarly for $K_g$; but also it proves that $K_f=K_g$, which is what you asked.