I am doubtful of my solution. So, I wanted to make sure. Let $g,f_n: X \rightarrow [-\infty, \infty], \forall n \in \mathbb{N}$ s.t. $g(x)= \sup_n f_n(x) \; \forall x \in X$. Prove that
$$ g^{-1}((a,\infty]) = \bigcup_{n=1}^\infty f_n^{-1}((a,\infty]) $$ where $a \in \mathbb{R}$.
Attempt: Assume $x_0 \in g^{-1}((a,\infty])$. Then,
$$ g(x_0) \in (a,\infty] \\[5pt] \Rightarrow \sup_{n}f_n(x_0) \in (a,\infty] \\[5pt] $$
So, there must be some member in the sequence $(f_n(x_0))_{n=1}^{\infty} $ which belongs to $(a,\infty]$. Hence, $x_0 \in \bigcup_{n=1}^\infty f_n^{-1}((a,\infty])$.
If $x_0 \in \bigcup_{n=1}^\infty f_n^{-1}((a,\infty])$. Then, There are natural numbers $n_1,n_2,\dots$, for which $x_0 \in f_{n_k}^{-1}((a,\infty])\; (k=1,2,\dots)$. This implies that $f_{n_k}(x_0) \in (a,\infty] \Rightarrow \sup_{n}f_n(x_0) \in (a,\infty]$.
Thus, $x_0 \in g^{-1}((a,\infty])$
Looks fine, but maybe be more specific in the following two steps:
Use here that the lower end of the interval $(a, \infty]$ is open (Note that for a closed interval the claim were false)
Use the defining property of the supremum.
Also as another answer mentioned, we aren't guaranteed to have a sequence of $f_{n_k}$ with $x_0 \in f^{−1}_n ((a,\infty])$, but only at least one. That's sufficient though.