You will run delete query on catalog_product_entity
table then below tables record will be deleted as entity column of catalog_product_entity
is be related using the foreign keys:
catalog_category_product
catalog_compare_item
catalog_product_bundle_option
catalog_product_bundle_price_index
catalog_product_bundle_selection
catalog_product_entity_datetime
catalog_product_entity_decimal
catalog_product_entity_gallery
catalog_product_entity_int
catalog_product_entity_media_gallery_value
catalog_product_entity_media_gallery_value_to_entity
catalog_product_entity_text
catalog_product_entity_tier_price
catalog_product_entity_varchar
catalog_product_frontend_action
catalog_product_index_tier_price
catalog_product_link
catalog_product_link
catalog_product_option
catalog_product_relation
catalog_product_relation
catalog_product_super_attribute
catalog_product_super_link
catalog_product_super_link
catalog_product_website
catalog_url_rewrite_product_category
cataloginventory_stock_item
downloadable_link
downloadable_sample
product_alert_price
product_alert_stock
report_compared_product_index
report_viewed_product_aggregated_daily
report_viewed_product_aggregated_monthly
report_viewed_product_aggregated_yearly
report_viewed_product_index
weee_tax
wishlist_item

But other tables on which product id save like sales_order does not delete, you will run delete query on catalog_product_entity
See: https://stackoverflow.com/questions/201621/how-do-i-see-all-foreign-keys-to-a-table-or-column