A vector $t$-coloring of a graph is an assignment of real vectors $p_1, \ldots, p_n$ to its vertices such that $p_i^Tp_i = t-1$ for all $i=1, \ldots, n$ and $p_i^Tp_j \le -1$ whenever $i$ and $j$ are adjacent. The vector chromatic number of $G$ is the smallest real number $t \ge 1$ for which a vector $t$-coloring of $G$ exists. For a graph $H$ and a vector $t$-coloring $p_1,\ldots,p_n$ of a graph $G$, the assignment $(i,\ell) \mapsto p_i$ is a vector $t$-coloring of the categorical product $G \times H$. It follows that the vector chromatic number of $G \times H$ is at most the minimum of the vector chromatic numbers of the factors. We prove that equality always holds, constituting a vector coloring analog of the famous Hedetniemi Conjecture from graph coloring. Furthermore, we prove a necessary and sufficient condition for when all of the optimal vector colorings of the product can be expressed in terms of the optimal vector colorings of the factors. The vector chromatic number is closely related to the well-known Lovász theta function, and both of these parameters admit formulations as semidefinite programs. This connection to semidefinite programming is crucial to our work and the tools and techniques we develop could likely be of interest to others in this field.