Show that $f=(f_1,f_2, \dots, f_m): \mathbb{R^n} \to \mathbb{R^m}$ is continuous at $a$ iff each of the component functions of $f$ are continuous at $a$.
If I suppose that every $f_i$ is continuous then I would get that for all $ \varepsilon >0$ there is $\delta >0$ s.t. $|f_i(x)-f_i(a)| < \frac{\varepsilon}{\sqrt{n}}$ when $|x-a| < \delta.$
$$|f(x)-f(a)|^2 = \sum_{i=1}^n|f_i(x)-f_i(a)| < n(\frac{\varepsilon}{\sqrt{n}})^2 = \varepsilon^2.$$
However I feel like I'm assuming the thing here that I want to proof. Any hints on how should I correct this?
Your $\delta$ depends on $i$. Call it $\delta_i$ and take $\delta =\min \{\delta_1,\delta_2,..., \delta_n\}$. (There is also a typo: you missed square).
For the converse use the fact that $f_i$ is the composition of $f$ with the continuous map $(x_1,x_2,...,x_m) \to x_i$.