If $S$ is an interval (of any of the types), it's clear that it is order-convex (which is what the property defined by the statement about all $x<y$ etc. is called). You can check this by the definitions of the interval set and the transitivity of the order. No completeness is yet needed.
(E.g. if $S=(a,b)$ and $x < y$ are in $S$ and $x \le z \le y$ then $a < x \le z \le y < b$ (the first and last come from $x,y \in S$) and then by transitivity $a < z < b$ and so $z \in S$, to see one case, the others are similar. Ctrl+C, Ctrl+V are your friend).
Now if $S$ is order convex, there are cases:
- $S$ is bounded above, in that case let $b=\sup(S)$ which exists by completeness.
- $S$ is not bounded above, in that case let $b=+\infty$.
- $S$ is bounded below, in that case $a=\inf(S)$, or
- $S$ is not bounded below, in that case $a=-\infty$.
If $a,b$ are finite and $a \in S, b \in S$, show that $S=[a,b]$.
($x \in [a,b]$ then $a \le x \le b$ by definition, but $a,b \in S$ and order-convexity of $S$ then implies $z \in S$. And if $x \in S$, $x \le b=\sup(S)$ is trivial, as is $a = \inf(S) \le x$ as well, so $x \in [a,b]$ and both inclusions have been shown.)
If $a,b$ are finite and $a \in S, b \notin S$ show that $S=[a,b)$ (also an interval type). The proof is similar.
You can formulate and prove the other (finite) cases as well.
If $b=+\infty$ and $a$ is finite and $a \notin S$ then we need to show $S=(a,+\infty)$ or $S=(a,\rightarrow)$ (another common notation) or just $S=\{x\in \Bbb R: x > a\}$. All such arguments are very similar. Try them.
If both $a,b$ are infinite, of course $S=\Bbb R$ (or $S=\emptyset$ if we're very pedantic ($\inf(\emptyset)=+\infty$ and $\sup(\emptyset)=-\infty$).