Let $D=(V,A)$ be a digraph of order $n$, $S$ a subset of $V$ of size $k$ and $2\le k\leq n$. A strong subgraph $H$ of $D$ is called an $S$-strong subgraph if $S\subseteq V(H)$. A pair of $S$-strong subgraphs $D_1$ and $D_2$ are said to be arc-disjoint if $A(D_1)\cap A(D_2)=\emptyset$. Let $λ_S(D)$ be the maximum number of arc-disjoint $S$-strong subgraphs in $D$. The strong subgraph $k$-arc-connectivity is defined as $$λ_k(D)=\min\{λ_S(D)\mid S\subseteq V(D), |S|=k\}.$$ The parameter $λ_k(D)$ can be seen as a generalization of classical edge-connectivity of undirected graphs. In this paper, we first obtain a formula for the arc-connectivity of Cartesian product $λ(G\Box H)$ of two digraphs $G$ and $H$ generalizing a formula for edge-connectivity of Cartesian product of two undirected graphs obtained by Xu and Yang (2006). Then we study the strong subgraph 2-arc-connectivity of Cartesian product $λ_2(G\Box H)$ and prove that $ \min\left \{ λ\left ( G \right ) \left | H \right | , λ\left ( H \right ) \left |G \right |,δ^{+ } \left ( G \right )+ δ^{+ } \left ( H \right ),δ^{- } \left ( G \right )+ δ^{- } \left ( H \right ) \right \}\geλ_2(G\Box H)\ge λ_2(G)+λ_2(H)-1.$ The upper bound for $λ_2(G\Box H)$ is sharp and is a simple corollary of the formula for $λ(G\Box H)$. The lower bound for $λ_2(G\Box H)$ is either sharp or almost sharp i.e. differs by 1 from the sharp bound. We also obtain exact values for $λ_2(G\Box H)$, where $G$ and $H$ are digraphs from some digraph families.