This is what I have been able to conclude at the moment:
$\boxed{\Rightarrow}$ Since $\phi$ is a ring homomorphism, $Im_{\phi}(\mathbb{F}_{p^{n}})$ is a subring in $\mathbb{F}_{p^{m}}$. In particular, $(Im_{\phi}(\mathbb{F}_{p^{n}}),+)$ and $(\mathbb{F}_{p^{m}},+)$ are abelian groups, so $(Im_{\phi}(\mathbb{F}_{p^{n}}),+)$ is an abelian subgroup in $(\mathbb{F}_{p^{m}},+)$. Lagrange's theorem allow us to say that $|Im_{\phi}(\mathbb{F_{p^{n}}})|\,|\,|\mathbb{F}_{p^{m}}|=p^{m}$. As $\phi$ is an injection, $|Im_{\phi}(\mathbb{F}_{p^{n}})|=|\mathbb{F}_{p^{n}}|=p^{n}$, so we can write that $p^{n}|p^{m}$ (I don't know how to continue from here).
$\boxed{\Leftarrow}$ Since $n|m$, there exists an element $k$ in $\mathbb{N}$ such that $nk=m$. Therefore, $p^{nk}=p^{m}$, and so, $\mathbb{F}_{p^{nk}}=\mathbb{F}_{p^{m}}$. We can consider an embedding of the form $\mathbb{F}_{p^{n}}\hookrightarrow\mathbb{F}_{p^{m}}$, which is an injective ring homomorphism. $\square$
Any suggestion or correction will be welcome. Thanks!