Let $G$ be a graph and $S \subseteq V(G)$. In the cycle convexity, we say that $S$ is \textit{cycle convex} if for any $u\in V(G)\setminus S$, the induced subgraph of $S\cup\{u\}$ contains no cycle that includes $u$. The \textit{cycle convex hull} of $S$ is the smallest convex set containing $S$. The \textit{cycle hull number} of $G$, denoted by $hn_{cc}(G)$, is the cardinality of the smallest set $S$ such that the convex hull of $S$ is $V(G)$. The \textit{convexity number} of $G$, denoted by $C_{cc}(G)$, is the maximum cardinality of a proper convex set of $V(G)$. This paper studies cycle convexity in graph products. We show that the cycle hull number is always two for strong and lexicographic products. For the Cartesian, we establish tight bounds for this product and provide a closed formula when the factors are trees, generalizing an existing result for grid graphs. In addition, given a graph $G$ and an integer $k$, we prove that $hn_{cc}(G) \leq k$ is NP-complete even if $G$ is a bipartite Cartesian product graph, addressing an open question in the literature. Furthermore, we present exact formulas for the cycle convexity number in those three graph products. That leads to the NP-completeness of, given a graph $G$ and an integer $k$, deciding whether $C_{cc}(G) \geq k$, when $G$ is a Cartesian, strong or lexicographic product graph.