Owen. Remember that to establish set equality, you need to prove that $\bigcup_{n \in \mathbb{N}}S_n \subseteq \mathbb{Z}$ and $ \mathbb{Z} \subseteq \bigcup_{n \in \mathbb{N}}S_n$. Regarding the statement $ \mathbb{Z} \subseteq \bigcup_{n \in \mathbb{N}}S_n$, if we know that
$$\bigcup_{n \in \mathbb{N}}S_n = S_1 \cup S_2 \cup S_3 \cdots,$$
When you employ proof by contradiction and assert that $x \notin \bigcup_{n \in \mathbb{N}}S_n$, it is like saying that $x \notin S_1$, $x \notin S_2$, and so on, that is,
$$\forall n \in \mathbb{N}, x \notin S_n.$$
So given that $S_n = \left \{ m \in \mathbb{Z} : m \leq n \right \}$. If you assert that $x \notin S_n$ for all $n \in \mathbb{N}$, then
$$\forall n \in \mathbb{N}, (x \notin \mathbb{Z} \space \vee \space x>n).$$
Clearly, the first statement is false since you've already assumed that $x \in \mathbb{Z}$, so do you think you can you use the second statement to reach a contradiction?
Regarding the statement $\bigcup_{n \in \mathbb{N}}S_n \subseteq \mathbb{Z}$. Assume that $x \in \bigcup_{n \in \mathbb{N}}S_n$. This is similiar to saying, either $x \in S_1$, $x \in S_2$, $x \in S_3$, and so on, but you don't really know which one specifically, but you know there is at least one set where $x$ belongs, in other words
$$\exists k \in \mathbb{N}, x \in S_k.$$
How do you continue from here?