This question came up in my undergraduate intro to Real Analysis class. We are given that $\mathbb{R}$ is a complete ordered field, and $\mathbb{Z}$ is a subset of the set $\mathbb{R}$.
I don't really know where to start. I thought of starting from the definition of integers, but we haven't been given one. I tried to make up a definition and the best I can think of is $\{1, 1+1, 1+1+1, ...\} \cup \{-1, -1 + (-1), -1 + (-1) + (-1),...\}$, but I'm not sure of how to make it more formal.
If the supremum $S$ of a set of integers $X$ was not itself an integer, there is an integer below $S$ written as $\lfloor S \rfloor$ and an integer above $S$ written $\lceil S \rceil$. Note that $\lfloor S \rfloor$ is the maximal element in $X$, because $S$ is a sup. Also, since $S$ is not an integer, $S - \lfloor S \rfloor > 0$. Now the supremum of a set $X$ has the property that for every $\epsilon > 0$, $S - \epsilon$ is not an upper bound for $X$, since $S$ is the least upper bound. But if we take $\epsilon = \frac{S - \lfloor S \rfloor}{2}$, then $S - \epsilon$ is still an upper bound.
This shows that $S$ has to actually be an integer, and in particular, it has to belong to $X$. Notice that there is nothing special about the integers here, and this in fact is true fr any discrete set of points on the real line.