$\newcommand{\bi}{\binom} $Denote the left- and right-hand sides of the identity by $l_{j,p}$ and $r_{j,p}$, respectively.
Note that
\begin{equation*}
l_{j,p+1}-l_{j,p}=\frac{(-1)^j}{p+2}\,\bi{p+1}j
\end{equation*}
and
\begin{equation*}
r_{j,p+1}-r_{j,p}=\frac{(-1)^{p+1}}{p+2}+s_{j,p},
\end{equation*}
where
\begin{equation*}
s_{j,p}:=\sum_{k=j+1}^{p+1}\frac{(-1)^{k-1}}k\Big(\bi{p+2}k-\bi{p+1}k\Big)
= \sum_{k=j+1}^{p+1}\frac{(-1)^{k-1}}k \bi{p+1}{k-1}.
\end{equation*}
By induction on $p$, it is enough to show that $l_{j,p+1}-l_{j,p}=r_{j,p+1}-r_{j,p}$, which can be rewritten as
\begin{equation*}
s_{j,p}=u_{j,p}:=\frac{(-1)^j}{p+2}\,\bi{p+1}j-\frac{(-1)^{p+1}}{p+2}. \tag{1}\label{1}
\end{equation*}
We have
\begin{equation*}
s_{j,p}-s_{j+1,p}=\frac{(-1)^j}{j+1} \bi{p+1}j
\end{equation*}
and
\begin{equation*}
u_{j,p}-u_{j+1,p}=\frac{(-1)^j}{p+2} \Big(\bi{p+1}j+\bi{p+1}{j+1}\Big) \\
=\frac{(-1)^j}{p+2}\bi{p+2}{j+1}
=\frac{(-1)^j}{j+1} \bi{p+1}j=s_{j,p}-s_{j+1,p}.
\end{equation*}
So, \eqref{1} follows by induction on $j$. $\quad\Box$