It is a famous result of Redei that states every tournament (i.e. directed complete graph) graph has a directed Hamilton path (one that goes thru each vertex). The proof can be read here. Let the Hamilton path start at $u$ and end at $v$. The tournament graph has an edge either from $u$ to $v$ or from $v$ to $u$. If the edge is from $u$ to $v$, then reverse it. If the edge is the other way around, do nothing. (If you have to change an edge, just change an arbitrary edge that isn't the edge from $v$ to $u$ or any of the edges in the Hamilton path.)
In either case, we've created a Hamilton cycle in the graph, so it must be strongly connected now. Note that as bof observed, this proof works whenever the number of vertices is at least four. The cases with one and two vertices are trivial. The case with three vertices is basically as trivial, and can either be proven with brute force or the pigeon hole principle.