Basically, I am not really sure how to start.
I thought about going through induction to show for $\mathbb{N}$ and $\mathbb{Q}$, then use the completeness of $\mathbb{R}$, but I think it is a long way there.
I am quite sure that there is a shortcut. Could you help me?
Induction tells us that $f(2^k x) = 2^k f(x)$ for all $k \in \Bbb N$. Since $f$ is differentiable at the origin, for any $\epsilon > 0$ we have a $\delta > 0$ such that $$|x|<\delta \implies\frac{|f'(0)\cdot x - f(x)|}{|x|} \le \epsilon.$$ Replace $x$ with $2^k x$ and use our first fact to get
$$|x| < 2^k \delta \implies \frac{|f'(0)\cdot x - f(x)|}{|x|} \le \epsilon.$$
Thus given $x$ and $\epsilon$, we can always choose $k$ large enough that the first inequality is true, and thus the second is true for all $x$ and $\epsilon$, so we have $$f(x) = f'(0) \cdot x,$$ a linear function.