Here is an outline of a proof which, with more details included, need not go beyond the level of an advanced undergraduate course.
Lets assume that $n \ge 5$ and that the simplicity of $A_n$ is known, from which you can easily deduce that $A_n$ is the only proper nontrivial normal subgroup of $S_n$.
Suppose $H < S_n$ with $|S_n:H|=n$ where $H$ is not a point stabilizer. Then the permutation action of $S_n$ on the cosets of $H$ must be faithful, and so its image is $S_n$. So this action is a homomorphism $S_n \to S_n$ that maps a point stabilizer in $S_n$ to $H$, and hence it is an outer automorphism of $S_n$.
So now we have reduced the problem to the well-known result (mentioned in a comment by Ethan Bolker) that $S_n$ has no outer automorphisms for $n \ne 6$.
I expect proofs of that have appeared here before, but here is an outline. Let $\phi:S_n \to S_n$ be an automorphism. The first step is to prove that, when $n \ne 6$, the map $\phi$ must map transpositions to transpositions. You could do that either by
(i) proving that if $\tau,\rho \in S_n$ with $\tau$ a transposition and $\rho$ a non-transposition of order $2$ then $|C_{S_n}(\tau)| > |C_{S_n}(\rho)|$ when $n \ne 6$, or
(ii) showing that the order of the product $\tau\tau^g$ for $g \in S_n$ can only have order $1,2$ or $3$, whereas $\rho\rho^g$ can have other orders, again when $n \ne 6$.
I prefer (ii) because it involves more group theory rather than number theory.
Having shown that $\phi$ maps transpositions to transpositions, we can compose with an inner automorphism and assume that $\phi: (1,2) \mapsto (1,2)$.
Then the sets of transpositions $A_1 := \{(1,i) : i>3\}$ and $A_2 := \{(2,i) : i > 3\}$ are maximal with the property that the product of any two of them or any of them with $(1,2)$ has order $3$, and so $\phi$ must map $\{A_1,A_2\}$ to itself, and by composing with the inner automorphism induced by $(1,2)$ if necessary, we can assume $\phi:A_1 \mapsto A_1, A_2 \mapsto A_2$. and then by composing again with an inner automorphism we get $\phi:(1,i) \mapsto (1,i)$ for all $i \ge 2$, and hence $\phi$ is the identity, and the original $\phi$ was inner.
**text**for text. – Shaun Nov 05 '24 at 10:57