For field coefficients (say in characteristic zero), we can look at cohomology. A simply-connected compact Lie group has the homotopy type of its semisimple factor,so you can reduce to the semisimple case. Now we can pass to Lie algebra cohomology and use the second Whitehead lemma stating that $H^2(\mathfrak g,\mathrm{Ad})=0$.
If you are interested in the second homotopy group and likes Morse theory and theory of roots for Lie algebras, a nice alternative is the following. First, note that $\pi_2(X)\cong\pi_1(\Omega X)$ for any topological space $X$ with base point $x_0$, where $\Omega X$ denotes the space of loops in $X$ based at $x_0$. In fact elements of $\pi_2(X)$ are given by continuous maps of the square $[0,1]\times[0,1]$ into $X$ which send the boundary to $x_0$. Such a map can be viewed as a $1$-parameter family of loops in $X$, that is a map $[0,1]\to \Omega X$. Alternatively, one can consider the path fibration $\Omega X\to PX \to X$ where $PX$ is the space of continuous paths starting at $x_0$ and the arrows represent respectively the inclusion and the end-point map. The total space $PX$ is contractible to the constant path $X\to x_0$ so the homotopy exact sequence of the fibration yields that $\pi_n(X)\cong\pi_{n-1}(\Omega X)$ for $n\geq1$. If $G$ is arcwise connected, this remark also implies that any two fibers of this fibration have the same homotopy type.
Next, take $X=G$ with the identity element as base point. Since $G$ is a compact Lie group, one can construct a bi-invariant Riemannian metric in $G$, that is a metric that is invariant under left and right translations (essentially by averaging with respect to a Haar measure). Consider the energy functional $E:\Omega G\to[0,+\infty)$, $E(\gamma)=\int_0^1||\dot\gamma||^2\,dt$. Its critical points are exactly the geodesic loops at the identity. In the bi-invariant metric, these are segments of one-parameter groups which are exponential images of line segments in the Lie algebra of the maximal torus which join the origin to another point of the unit lattice. Since $G$ is simply-connected, the unit lattice coincides with the coroot lattice. The Morse index theorem says that the index of such a geodesic segment is the sum with the multiplicities of the conjugate points along the geodesic. Finally conjugate points correspond to intersection points of the geodesic with the hyperplanes where the roots take integral values, and the corresponding multiplicity equals the real dimension of the root space which is always $2$. The bottom line is that $E$ is a Morse function with critical point only of even index. It follows that $E$ is a perfect Morse function and $\Omega G$ is a CW-complex with no cells of odd dimension. In particular $\Omega G$ is simply-connected.