The following lemma seems helpful in reducing the amount of search needed: Let $h(x)$ be a common divisor of $f$ and $g$ of minimal degree. Let $\widetilde{h}(x)$ be any lift of $h(x)$ to an element of $\mathbb Z_p[x]$. Then $\widetilde{h}(x)$ is irreducible.
The proof is that if $\widetilde{h}$ splits as $\widetilde{h}_1\widetilde{h}_2$ then the reductions of $\widetilde{h}_1$ and $\widetilde{h}_2$ mod $p^k$ both divide $h$ and so divide $f$ and $g$, but have lesser degree.
So we may restrict attention to $h$ such that any lift of $h$ to $\mathbb Z_p[x]$ is irreducible, and use our knowledge of irreducible polynomials in $\mathbb Z_p[x]$.
For one, by Hensel's lemma, such polynomials must reduce mod $p$ to a power of an irreducible polynomial in $\mathbb F_p[x]$. So we can start our search by considering all powers of all irreducible polynomials dividing the gcd of $f$ and $g$ modulo $p$, which is a list of length at most the degree of the gcd of $f$ and $g$ and thus can be efficiently brute-force searched through.
I'm not immediately sure what is a good way to handle the lift from mod $p$ to mod $p^k$, though I can see how to do some special cases.
A necessary condition for a solution to exist is that there exists $\alpha \in \overline{\mathbb Z}_p$ (i.e. the integral closure of $\mathbb Z_p$ inside the algebraic closure of $\mathbb Q_p$) such that $f(\alpha)$ and $g(\alpha)$ are both divisible by $p^k$ (here we have lifted $f$ and $g$ arbitrarily to $\mathbb Z_p$). This is necessary since any root of $h$ (lifted arbitrarily to $\mathbb Z_p$) will have this property.
If the minimal polynomial of $\alpha$ is irreducible mod $p$, this condition it is also sufficient, as then for $h$ the minimal polynomial of $\alpha$ we can express the coefficients of $f$ modulo $h$ as $\mathbb Z_p$-linear functions of $f(\alpha)$, and so these are divisible by $p^k$, and the same is true for $g$.
I will give an algorithm (modulo arithmetic in $\overline{\mathbb Q_p}$ that I believe is known how to do efficiently) to decide this necessary condition.
In particular, you raise on MSE the question of when $f$ and $g$ have a common root. This occurs if and only if there exists such an $\alpha$ in \mathbb Z_p$.
To do this, we observe that there exists $\alpha$ such that that $f(\alpha)$ and $g(\alpha)$ are both divisible by $p^k$ if and only if there exists $\alpha$ a root of $f$ or $g$ such that $f(\alpha)$ and $g(\alpha)$ are divisible by $p^k$. Indeed, let $\beta_1,\dots, \beta_n$ be the roots of $f$ and $\beta_{n+1},\dots, \beta_{n+m}$ be the roots of $g$, then $f(\alpha) = \prod_{i=1}^n (\alpha -\beta_i)$. There is some $j$, not necessarily unique, that maximizes the $p$-adic valuation of $\alpha-\beta_j$. For this $j$, the $p$-adic valuation of $\alpha-\beta_i$ is at most the $p$-adic valuation of $\beta_i-\beta_j$, since otherwise $\beta_i-\beta_j$ would be the difference of two terms $\alpha-\beta_j$ and $\alpha-\beta_i$ of greater $p$-adic valuation, contradicting the non-archimedean property of $p$-adic valuation. So the $p$-adic valuation of $f(\alpha)=\prod_{i=1}^n (\alpha -\beta_i)$ is at most the $p$-adic valuation of $\prod_{i=1}^n (\beta_j -\beta_i)=f(\beta_j)$, so if $f(\alpha)$ has $p$-adic valuation at least $k$ then so does $f(\beta_j)$. The same argument works for $g$.
So it suffices to test the roots $\beta_1,\dots,\beta_{n+m}$, and see if they have this property.
For your question about roots in $\mathbb Z_p$, each of the roots $\beta_1,\dots, \beta_{n+m}$ has a closest approximation in $\mathbb Z_p$ (i.e. an element $\alpha$ in $\mathbb Z_p$ that minimizes the $p$-adic valuation of $\alpha-\beta_j$) and it suffices to test these elements. So this can be done without exponential search.