Let $m \in \mathbb{Z^+} , n \in \mathbb{Z^+}$ and let $d=\gcd(m,n)$. Prove that $$ m\mathbb{Z}+n\mathbb{Z}=d\mathbb{Z}. $$ My attempt is use inclusion to show. Let $a \in m\mathbb{Z}+n\mathbb{Z}$. Then we have $a=ms+nt$. Since $d=\gcd(m,n)$, by Bézout's Lemma, we have $d=ms+nt$ for some integers $s$, $n$. Hence, we have $a=ms+nt=d \in d\mathbb{Z}$. Let $a \in d \mathbb{Z}$. Then we have $a=db=msb+ntb \in m\mathbb{Z}+n\mathbb{Z}$. Is my proof valid?
Remark: the following is the part 2 of the question. Prove that $m\mathbb{Z}\cap n\mathbb{Z}=\frac{mn}{d}\mathbb{Z}$. This one I have no idea how to start
Unfortunately you're not correct, but you're close. You've used $s$ and $t$ in two different situations, where they should not have been used.
What we actually have to do for the first inclusion is, given $a \in m\mathbb{Z}+n\mathbb{Z}$, simply state that $a = xm+yn$. We don't need to apply Bézout's identity here, only use the fact that $d = \gcd(m,n) \implies d $ divides $m$ and $d $divides $n$. Hence $d $ divides $xm + yn = a$ so $a \in d\mathbb{Z}$ and hence $m\mathbb{Z}+n\mathbb{Z} \subset d\mathbb{Z}$
For the other inclusion, you use Bézout's identity to state that $d = ms + nt$ for some integers $s,t$ and argue as you have done in the second part, which is correct.