I'm writing today to ask for a heading/starting point in how I might approach this problem proposed to me involving Set Theory.
From my understanding, this proof is asking us to show that the set containing all the elements in A minus the set of all elements common to the sets B1,B2,...,Bn is equal to the set containing all the elements of A not in a particular set on Bn. I can see this making sense, as it's saying there's a set of values in B1, B2, Bn that are not in at least one of the iterations of the Union of (A-Bi), however I am very stuck on how to begin formally proving this using Set Theory. Can someone give me a direction/heading for this? I'm familiar with calculus and more number theory proofs but I'm completely lost on how to begin such a proof like this.

Let $x\in A-\bigcap_{i=1}^nB_i$.
Then $x\in A$ and not $x\in \bigcap_{i=1}^nB_i$ or equivalently some $i_0\in\{1,\dots,n\}$ exists with $x\notin B_{i_0}$.
Then we have $x\in A-B_{i_0}$ and this set is evidently a subset of $\bigcup_{i=1}^n(A-B_i)$ so that also $x\in\bigcup_{i=1}^n(A-B_i)$.
This proves: $$A-\bigcap_{i=1}^nB_i\subseteq\bigcup_{i=1}^n(A-B_i)$$
Give the other side a try yourself.
edit (the other way).
Let $x\in\bigcup_{i=1}^n(A-B_i)$.
Then $x\in A-B_{i_0}$ for some $i_0\in\{1,\dots,n\}$.
Then $x\in A$ and $x\notin B_{i_0}$.
Then it cannot be true that $x\in\bigcap_{i=1}^nB_i$.
This because $\bigcap_{i=1}^nB_i\subseteq B_{i_0}$ so that $x\in\bigcap_{i=1}^nB_i$ leads to $x\in B_{i_0}$ which is not true.
We conclude that $$x\in A-\bigcap_{i=1}^nB_i$$