In the case $n = 1$, by complex analysis we can prove (Index of a Jordan curve) that for any smooth Jordan curve the winding number around a point (defined by integral $\frac{1}{2\pi i} \oint \frac{\mathrm{d}z}{z - z_{0}}$) is either $0$, $-1$ or $1$. Complex analysis also concludes that two smooth closed curves with a homotopy in $\mathbb{C} \setminus \{z\}$ have the same winding number around $z$, thus there’s a definition of winding number around a point of any closed curve (that doesn’t go through the point), namely $\operatorname{wind}(\gamma; z) := \operatorname{wind}(\gamma'; z)$, where $\gamma'$ is homotopic to $\gamma$ in $\mathbb{C} \setminus \{z\}$ and smooth. By these, we know the winding number of a closed curve around $0$ is actually the element it represents in $\pi_{1}(\mathbb{C} \setminus \{0\}) \cong \mathbb{Z}$ while the circle $e^{2\pi i \,\cdot} \colon [0, 1] \rightarrow \mathbb{C}$ represents $1$ in $\mathbb{Z}$. (It doesn’t matter if the closed curve is a based map.)
So by complex analysis we know when $n = 1$ and the embedding $S^1 \rightarrow \mathbb{C} \setminus \{0\}$ is smooth that the proposition is true. I guess the winding number of any Jordan curve is either $0$, $-1$ or $1$, i.e., the case $n = 1$ without the smoothness.
Furthermore, I want to know whether the proposition is true when $n > 1$.

This answer started out as only a partial solution. Additional details provided by the commenters, which completed the solution, are given after the Edit break below.
Let $S \subset \mathbb R^{n+1} \setminus \{0\}$ be the image of an embedding of $S^{n}$. By the Jordan separation theorem, $\mathbb R - S$ has two components, a bounded component $B$ and an unbounded component $U$. There are two cases depending on whether $0 \in B$ or $U$.
Case 1: $0 \in U$. I can prove that $S$ is homotopic to a constant in $\mathbb R^{n+1} \setminus \{0\}$ and therefore represents the identity element of $\pi_n(\mathbb R^{n+1} \setminus \{0\})$. Choose a homotopy $H' : S \times [0,1] \to \mathbb R^{n+1}$ from the identity map on $S$ to a constant map, let $K$ be the image of this homotopy, and let $R$ be so large that $K$ (including $S$ itself) is contained in the ball of radius $R$ around $0$. Since $U$ is path connected, we may choose a path $\gamma : [0,1]$ in $U$ from $\gamma(0)=0$ to a point $\gamma(1)$ whose distance to $0$ is $>4R$.
Now do a homotopy of $S$ in two steps.
In the first step use the homotopy $H_1(x,t) = x - \gamma(t)$, and notice that $H_1(x,t) \ne 0$ for all $x \in S$, $t \in [0,1]$. At the end of this homotopy, $S$ has been translated to $S - \gamma(1)$ which lies outside of the ball of radius $3R$ around $0$. The diameter of $K$ is $\le 2R$, and so the diameter of $K-\gamma(1)$ is $\le 2R$, and hence $K-\gamma(1)$ is contained outside the ball of radius $R$ around $0$. We may therefore homotopy $S-\gamma(1)$ to a point through $K-\gamma(1)$, using $H_2 = H' - \gamma_1$, and so $H_2(x,t) \ne 0$ for all $x \in S$, $t \in [0,1]$. Concatenating the homotopy $H_1$ with the homotopy $H_2$, the result is a homotopy from the identity map on $S$ to a constant map such that the entire homotopy stays away from $0$.
Case 2: $0 \in B$. If we could assume that $S$ was tame then we could use the Brown-Masur Theorem (aka the generalized Schönflies theorem) to conclude that there is a homeomorphism of $\mathbb R^{n+1}$ that fixes $0$ and takes $S$ to $S^{n+1}$ and we would be done.
Edit: For a wild sphere in Case 2, there's one more step; thanks to the commenters for pushing this issue forward.
If $S \subset \mathbb R^{n+1}$ is a wildly embedded $n$-sphere then by work of Ancel linked in the comments below, the inclusion map $S \hookrightarrow \mathbb R^{n+1}$ may be approximated by a tame map $h : S \to \mathbb R^{n+1}$, meaning that $h(S)$ is a tame embedding and $d(x,h(x)) < \epsilon$, where $\epsilon>0$ may be chosen arbitrarily. By choosing $\epsilon$ equal to the distance from $S$ to $0$, the homotopy from $S$ to $h(S)$ misses $0$. One can then apply the earlier solution to $h(S)$. It follows that $S$ satisfies the desired conclusion.