We analyse how the standard reductions between constraint satisfaction problems affect their proof complexity. We show that, for the most studied propositional and semi-algebraic proof systems, the classical constructions of pp-interpretability, homomorphic equivalence and addition of constants to a core preserve the proof complexity of the CSP. As a result, for those proof systems, the classes of constraint languages for which small unsatisfiability certificates exist can be characterised algebraically. We illustrate our results by a gap theorem saying that a constraint language either has resolution refutations of bounded width, or does not have bounded-depth Frege refutations of subexponential size. The former holds exactly for the widel...