My approach:
Let $\varnothing \neq A \subseteq \mathbb{R}$.
$A$ is unbounded, therefore $\forall x \in A$ , $\exists\ M_1,M_2 \in \mathbb{R}$
such that $M_1\leq x \leq M_2$, therefore $A \subseteq [-\infty, \infty ]$
In the same manner, $A$ is unbounded therefore $\forall x \in A$ , $\exists\ M_1,M_2 \in \mathbb{R}$
such that $M_1 < x < M_2$, therefore $\exists\ a_1,a_2 \in A$ such that $a_1 < x < a_2$ , (otherwise A would be bounded) and therefore $A \subseteq (-\infty, \infty )$.
Is this a legit proof? what should I improve \ change?
There is a lot to clean up in your proof. In your first line, you should note that you assume that A is an unbounded interval (and that unbounded means it is not bounded from above or from below).
Your conclusion does not prove the proposition, since you have merely shown that if $x \in A$ then $x \in R$, which is trivial.
Here's a sketch of how to write prove it in a standard way. The idea of the proof is to let $x \in \mathbb{R}$ be arbitrary, and then show that it is in A, proving that $A = \mathbb{R}$.
Let $x \in R$ be arbitrary. Assume for contradiction that $x \notin A$. Let $y \in A$, since $A \ne \emptyset$, and therefore that $x \ne y$. If $y<x$, then $z<x$ for all $z \in A$ (why?), so $A$ is bounded from above, contradiction! If $y>x$, then similarly, $z>x$ for all $z \in A$, so $A$ is bounded from below, contradiction.
So since our assumption let to a contradiction, the assumption ($x \ne A$) is wrong, so $x \in A$