$k$ sorted lists, total $n$ elements.
Construct a min heap by taking the first element from all the arrays.
Extract the min element and print. Take the next element from the array in which the min element was present (the heap entry should store the origin array information), and insert to min heap. Continue till min heap becomes empty.
Time Complexity = $O(k)$ {min heap construction} $+ O(n\log k)$ {n time extract min from heap} $= O(n\log k).$