You could create a composite key that uses the both keys
Normally if there is no suitable key to be found in a table you want to create a either a composite key, made up of 2 or more fields,
ex:
Code below found here
CREATE TABLE topic_replies (
topic_id int unsigned not null,
id int unsigned not null auto_increment,
user_id int unsigned not null,
message text not null,
PRIMARY KEY(topic_id, id));
therefor in your case you could add code that does the following:
ALTER TABLE users_categories ADD PRIMARY KEY (user_id, category_id);
therefor once you want to reference a certain field all you would need is to pass the two PKs from your other table, however to link them they need to each be coded as a foreign key.
ALTER TABLE users_categories ADD CONSTRAINT fk_1 FOREIGN KEY (category_id) REFERENCES categories (category_id);
but if you want to create a new primary key in your users_categories table that is an option. Just know that its not always neccessary.