This fact is a weaker version of Theorem 2 from Grünbaum, Branko, Partitions of mass-distributions and of convex bodies by hyperplanes, Pac. J. Math. 10, 1257-1261 (1960). ZBL0101.14603. Let me discuss the ideas of this proof.
Let $\operatorname{Vol}(K)$ denote the $n$-dimensional Lebesgue measure of the set $K\in\mathbb{R}^n$. To simplify notation, we denote $m_K(S)=\operatorname{Vol}(S\cap K)$, for all measurable subsets $S\in\mathbb{R}^n$. We define $$\mathcal{C}(K,\lambda)\equiv\{x\in\mathbb{R}^n: m_K(H_x)\geq\lambda m_K (K)\text{ for all halfspaces }H_x\text{ based at }x\}.$$
Note then that a sufficient condition to have your statement is that
Fact 1. $$0\in C(K,(n/(n+1))^n),$$
because in such a case $$\operatorname{Vol}\left(K\cap\underbrace{\{x\in\mathbb{R}^n: x^Tw\geq0\}}_{\equiv H_0(w)}\right)\geq\underbrace{\left(\frac{n}{n+1}\right)^n}_{\equiv\alpha_n}\operatorname{Vol}(K)\geq\frac{1}{e}\operatorname{Vol}(K)$$
for all $w\neq0$. Then, let us proceed showing fact 1 by contradiction. Therefore, there should exist $w\in\mathbb{R}^n$ such that $m_K(H_0(w))<\alpha_n m_K(K).$ Without loss of generality, we may assume that $w=(1,0,\dots,0).$ Let $H^\pm\equiv\{x\in\mathbb{R}^n:\pm x_1\geq0\}$. Therefore, the contradiction hypothesis is now $m_K(H^-)< \alpha_n m_K(K)$.
Now, in order to achieve a contradiction, we will use the spherical symetrization of $K$, that we will denote by $\hat K.$ This set is the union of the $(n-1)$-dimensional spheres obtained by taking for each hyperplane $L_t=\{x\in\mathbb{R}^n:x_1=t\}$ the sphere with center $(t,0,\dots,0)$ and $(n-1)$-dimensional volume equal to the one of $K\cap L_t.$ Note that by construction $\hat K$ is convex, $\int_{\hat K} x dx=0$ (the centroid of $\hat K$ is $0$, as well as the centroid of $K$), $m_K(H^-)=\operatorname{Vol}(H^-\cap\hat K)$ and $m_K(H^+)=\operatorname{Vol}(H^+\cap\hat K)$, because we are staking $(n-1)$-dimensional slices that have the same $(n-1)$-dimensional volume than the slices of $K$. Therefore,
$$\operatorname{Vol}(H^-\cap\hat K)<\alpha_n \operatorname{Vol}(\hat K),$$
and $0\not\in C(\hat K, \alpha_n).$ Now consider the hypercone $D^-$ with base $\hat K\cap L_0$ and vertex $(c,0,\dots,0)\in H^-$ cxhosen in soch a way that $\operatorname{Vol}(D^-)=\operatorname{Vol}(\hat K\cap H^-)$. The hypercone $D$ is defined by extending $D^-$ along its generators into $H^+$ in such a way that $\operatorname{Vol}(D\cap H^+)=\operatorname{Vol}(\hat K\cap H^+)$. Then, $x_1$-coordinate of the centroid of $D^-$ (respectively $D^+=D\cap H^+$) is no greater than the one of $\hat K^-=\hat K\cap H^-$ (respectively $\hat K^+=\hat K\cap H^+$). Then, the centroid of $D$ should be in $H^-$, and the hyperplane parallel to $L_0$ passing through this centroid divides $D$ in two parts in such a way that the part that contains the vertex has a volume smaller than $\alpha_n \operatorname{Vol}(D)$. Nevertheless, the centroid of an hypercone divides its height in a ratio of $1/n$, from where we get that the volume of this part is precisely $\alpha_n \operatorname{Vol}(D)$, from where we get the contradiction.