Assume that $\mathbb{R}^3\setminus S$ is disconnected. So there are nontrivial open, disjoint sets $U,V$ with
$$\mathbb{R}^3\setminus S=U\sqcup V$$ $$\mathbb{R}^3=U\sqcup V\sqcup S$$
Since $U,V$ are nontrivial, $\partial U,\partial V\neq\emptyset$.
Since $U,V$ are open, $U\cap\partial U=V\cap\partial V=\emptyset$.
We must have that $\partial U\cap V=\emptyset$ or else there is $x\in \partial U\cap V$. This would mean an open ball $W$ exists surrounding $x$ that is contained within $V$. And there would be points in $W\setminus\{x\}$ that are also in $U$, which would contradict $U$ and $V$ being disjoint.
This implies that $\partial U\subset S$. And similarly, $\partial V\subset S$.
Suppose for a moment that $S\setminus(\partial U \cup\partial V)$ is nonempty. Let $y\in S\setminus(\partial U \cup\partial V)$. Well, there is a small enough ball $Y$ surrounding $y$ that manages to neither intersect $U$ nor $V$, since $y$ is not in their boundaries. Therefore $Y$, a ball, is contained in $S$, homeomorphic to $\mathbb{R}$. This is a contradiction.
So $S\setminus(\partial U \cup\partial V)$ must be empty, and given the containment established earlier, therefore $S=\partial U \cup\partial V$. Now use the topology on $S$ induced by its homeomorphism to $\mathbb{R}$. $\partial U$ and $\partial V$ are still closed (since they are nonempty), but they union to $S$ which is open in this topology. Therefore they must have a nontrivial intersection.
Consider $z\in\partial U\cap\partial V$ and an open ball $Z$ containing $z$, with $Z$ so small that $\partial Z\cap S$ consists of two points $\{a,b\}$ and within $Z$, $S$ is homotopy equivalent to the union of the line segments $\overline{az}$ and $\overline{zb}$ while fixing $a$, $z$, and $b$. This is possible because $S$ is homeomorphic to $\mathbb{R}$.
Now, $Z\setminus S$ is connected owing to the simple form of $Z\cap S$. ($Z\setminus S$ is homotopy equivalent to a cylinder.) And intersecting the sides of the first equation above with $Z$, we have the disjoint union
$$Z\setminus S=(Z\cap U)\sqcup (Z\cap V)$$
However $z$ is in both $\partial U$ and $\partial V$, so neither set on the right is empty. This contradicts $Z\setminus S$ being connected.
So it all falls apart. The original assumption must have been false, and so $\mathbb{R}^3\setminus S$ is connected.