Let $f : \mathbb{R} \rightarrow \mathbb{R}$ be a differentiable function. Let
$$\underline{r}(x,y,z) := \begin{pmatrix}x\\y\\z\end{pmatrix}$$
be a vector field in Cartesian coordinates. The length $r$ of the vector $\underline{r}$ is
$$r = \sqrt{x^2+ y^2 + z^2} $$
Show that
$$\nabla f(r) = \dfrac{\mathrm{d} f}{\mathrm{d}r}\cdot \dfrac{\underline{r}}{r} $$
This is an exercise in preparation for a test. Here's what I have tried to do using chain rule:
$$\begin{split} \nabla f(r) &= \begin{pmatrix}\partial_x(f(r))\\ \partial_y (f(r))\\ \partial_z(f(r))\end{pmatrix}\\ &= \begin{pmatrix}\partial_x(f(r)) \cdot \dfrac{x}{r}\\ \partial_y (f(r)) \cdot \dfrac{y}{r}\\ \partial_z(f(r))\cdot \dfrac{z}{r}\end{pmatrix}\\ \end{split}$$
So if $$\partial_x(f(r)) = \partial_y(f(r)) = \partial_z(f(r)) = \dfrac{\mathrm{d} f}{\mathrm{d}r}\ $$ was a scalar, I would be done. However I don't know this would be the case or if I have applied the chain rule correctly.
How do I continue from here, or how should I start in the first place to solve this?
You haven't applied the chain rule correctly. Doing so gives you the result pretty easily. The correct chain rule is
$$\nabla f(r):= \begin{pmatrix} \partial_x(f(r)) \\ \partial_y(f(r))\\ \partial_z(f(r)) \end{pmatrix} = \begin{pmatrix} \frac{df}{dr}\cdot\partial_x(r) \\ \frac{df}{dr}\cdot\partial_y(r)\\ \frac{df}{dr}\cdot\partial_z(r) \end{pmatrix} $$
All that's left now is to compute these partial derivatives, which you seem to have already done.
I hope this helps.