I want to prove that a set $\Sigma$ of $\mathcal{L}$-sentences is $\textbf{complete}$ iff when $\mathcal{A}, \mathcal{B} \models \Sigma$, then $\mathcal{A} \equiv \mathcal{B}$.
Starting with the definition of complete, we have:
A set $\Sigma$ of $\mathcal{L}$-sentences is complete if for all $\mathcal{L}$-sentences $\varphi$, either $\Sigma \models \varphi$ or $\Sigma \models (\neg \varphi)$.
Seems like such a straightforward proof. My attempt:
$(\Rightarrow)$ Let $\Sigma$ be a set of $\mathcal{L}$-sentences. By the given, we have that $\Sigma$ is complete. Take any $\phi$ to be an $\mathcal{L}$-sentence. Then, we have that either $\Sigma \models \phi$ or $\Sigma \models (\neg \phi)$. Let $\mathcal{A}, \mathcal{B}$ be models such that for all $\phi \in \mathcal{A}, \mathcal{B}$ we have that $\mathcal{A}, \mathcal{B} \models \Sigma$. As $\phi$ satisfies $\Sigma$ then it must be that $\mathcal{A}, \mathcal{B}$ satisfy $\Sigma$, hence for all $\mathcal{L}$-sentences in $\mathcal{A},\mathcal{B}$ we have that $\mathcal{A} \equiv \mathcal{B}$.
Does this make sense?
The structure of your proof is a bit off -- you start speaking about $\phi$ before you introduce $\mathcal A$ and $\mathcal B$, so it is unclear what can depend on what. And it breaks down completely when you begin speaking about "$\phi$ satisfies $\Sigma$", because a formula doesn't satisfy anything; structures do.
In the claim you're trying to prove $\mathcal A$ and $\mathcal B$ are implicitly universally quantified after the "iff" (which is bad style but unfortunately common), so by the structure of your claim, the proof ought to start
Now you can start introducing a $\phi$, because the definition of $\mathcal A\equiv\mathcal B$ includes a quantification over $\phi$:
By symmetry it is enough to prove one of the directions here, so
So far we've just unfolded definitions; now we can actually start arguing. The crucial fact is indeed that $\Sigma\vDash \phi$ or $\Sigma\vDash \neg\phi$, but because we have assumed $\mathcal A\vDash \Sigma$ we can't have $\Sigma\vDash\neg\phi$, because then by transitivity $\mathcal A\vDash\neg\phi$ which would contradict our other assumption $\mathcal A\vDash\phi$ (by definition of what $\vDash$ means for structures and negated formulas).
Therefore we must have $\Sigma\vDash\phi$, and from there it is smooth sailing to $\mathcal B\vdash\phi$.
The ($\Leftarrow$) direction is more subtle. There you need to assume a $\phi$ before you decide on $\mathcal A$ and $\mathcal B$ -- but on the other hand you get to choose $\mathcal A$ and $\mathcal B$, because they're now quantified on the premise side of the implication.