Relativistic equations are the equations whose solutions describe certain relativistic motions. Such equations include wave equation, Klein-Gordon equation, Dirac equation etc. A relativistic equation must describe the same physical motion independent of frames i.e. whether an observer is in a frame at rest or in a frame moving at the constant speed $v$. For this reason, all those relativistic equations are required to be invariant under the Lorentz transformation. We show that the wave equation
\begin{equation}
\label{eq:waveeq}
-\frac{1}{c^2}\frac{\partial^2\psi}{\partial t^2}+\frac{\partial^2\psi}{\partial x^2}=0
\end{equation}
is Lorentz invariant. Here we consider only 1-dimensional wave equation for simplicity. Wave equation has two kinds of solutions. Given boundary conditions its solution describes a vibrating string in which case the boundary conditions are the ends of the string that are held fixed. This is called Fourier’s solution. The other type can be obtained by not imposing any boundary conditions. The resulting solution would describe a propagating wave in vacuum spacetime. Such a propagating wave includes electromagnetic waves. Light is also an electromagnetic wave. This is called a d’Alembert’s solution. The proof is easy. All that’s required is the chain rule.

First let us recall the Lorenz transformation
$$t’=\frac{t-\frac{v}{c^2}x}{\sqrt{1-\frac{v^2}{c^2}}},\ x’=\frac{x-vt}{\sqrt{1-\frac{v^2}{c^2}}}$$
Using the chain rule we find
\begin{align*}
\frac{\partial}{\partial x}&=\frac{\partial}{\partial x’}\frac{\partial x’}{\partial x}+\frac{\partial}{\partial t’}\frac{\partial t’}{\partial x}\\
&=\frac{1}{\sqrt{1-\frac{v^2}{c^2}}}\frac{\partial}{\partial x’}-\frac{v}{c^2\sqrt{1-\frac{v^2}{c^2}}}\frac{\partial}{\partial t’}\\
\frac{\partial}{\partial t}&=\frac{\partial}{\partial x’}\frac{\partial x’}{\partial t}+\frac{\partial}{\partial t’}\frac{\partial t’}{\partial t}\\
&=-\frac{v}{\sqrt{1-\frac{v^2}{c^2}}}\frac{\partial}{\partial x’}+\frac{1}{\sqrt{1-\frac{v^2}{c^2}}}\frac{\partial}{\partial t’}
\end{align*}
Applying the chain rule again,
\begin{align*}
\frac{\partial^2}{\partial x^2}&=\frac{1}{1-\frac{v^2}{c^2}}\frac{\partial^2}{\partial {x’}^2}+\frac{v^2}{c^4\left(1-\frac{v^2}{c^2}\right)}\frac{\partial^2}{\partial {t’}^2}-2\frac{v}{c^2\left(1-\frac{v^2}{c^2}\right)}\frac{\partial^2}{\partial t’\partial x’}\\
\frac{\partial^2}{\partial t^2}&=\frac{v^2}{1-\frac{v^2}{c^2}}\frac{\partial^2}{\partial {x’}^2}+\frac{1}{1-\frac{v^2}{c^2}}\frac{\partial^2}{\partial {t’}^2}-2\frac{v}{1-\frac{v^2}{c^2}}\frac{\partial^2}{\partial t’\partial x’}
\end{align*}
It follows that
$$-\frac{1}{c^2}\frac{\partial^2\psi}{\partial t^2}+\frac{\partial^2\psi}{\partial x^2}=-\frac{1}{c^2}\frac{\partial^2\psi}{\partial {t’}^2}+\frac{\partial^2\psi}{\partial {x’}^2}$$
Therefore, the wave equation is Lorentz invariant.

Would the wave equation be invariant under the Galilean transformation? The answer is no. Recall the Galilean transformation
$$t’=t,\ x’=x-vt$$
We find that under the Galiean transformation
$$-\frac{1}{c^2}\frac{\partial^2\psi}{\partial t^2}+\frac{\partial^2\psi}{\partial x^2}=-\frac{1}{c^2}\frac{\partial^2\psi}{\partial {t’}^2}+\left(1-\frac{v^2}{c^2}\right)\frac{\partial^2\psi}{\partial {x’}^2}+\frac{2v}{c^2}\frac{\partial^2\psi}{\partial t’\partial x’}$$
Hence obvisouly the wave equation is not invariant under the Galiean transformation. This implies that there is no light in Euclidean space.

Food for Thought. You can also show that the heat equation (1-dimensional)
$$-\frac{\partial u}{\partial t}+\alpha\frac{\partial^2 u}{\partial x^2}=0$$
is not Lorentz invariant. Is there any relativistic version of the heat equation? There are models of relativistic heat conduction but in my opinion they are more like mathematically augmented equations rather than they are derived in a physically meaningful way. So my question is can we derive a physically meaningful equation of relativistic heat conduction? One may wonder if there is actually any physical phenomenon that exhibits a relativistic heat conduction. As far as I know there isn’t any observed one yet. I speculate though that one may observe a relativistic heat conduction from an extreme physical phenomenon such as a quasar jet.

Update: Of course the Lorentz invariance can be also shown using the Lorentz transformation \begin{align*}t’&=\cosh\phi t-\sinh\phi x\\x’&=-\sinh\phi t+\cosh\phi x\end{align*}

Update: For 3-dimensional case the wave equation is given by $$\Box\psi=0$$
where $\Box=-\frac{1}{c^2}\frac{\partial^2}{\partial t^2}+\frac{\partial^2}{\partial x^2}+\frac{\partial^2}{\partial y^2}+\frac{\partial^2}{\partial z^2}$ is the d’Alembert’s operator. This case is actually simpler to show its Lorentz invariance. Note $\Box=\nabla\cdot \nabla$ where $\nabla=\frac{1}{c}\frac{\partial}{\partial t}\hat e_0+\frac{\partial}{\partial x}\hat e_x+\frac{\partial}{\partial y}\hat e_2+\frac{\partial}{\partial z}\hat e_3$. Since $\nabla$ is a 4-vector (rigorously it is not a vector but an operator but can be treated as a vector), its squared norm $\Box$ has to be Lorentz invariant.