I think there are theorems in differential geometry guaranteeing that $SO(3)$ can be embedded into $\mathbb R^n$ for some $n$. But do we know what particular $n$ this is for $SO(3)$, and do we know of a particular embedding?
This would be nice to know if $n$ happens to be small enough for us to "think about" the global topology of $SO(3)$ in a somewhat geometrical way.
As stated in the comment of @MoisheKohan, the smallest such $n$ is $5$, but the way things work is not that one finds the global topology of $SO(3)$ via some "nice embedding" into $\mathbb R^5$. On the contrary, one first observes that, as a manifold, $SO(3)$ is diffeomorphic to the real projective space $\mathbb RP^3$. This projective space is obtained by identifying antipodal points in the three-sphere $S^3$ (similarly as the projective plane is obtained from the two-sphere). Alternatively, you can describe it as the space of lines through the origin in $\mathbb R^4$. For projective spaces it is known that they are particularly difficult to embed into $\mathbb R^n$, in particular, $\mathbb RP^3$ embeds into $\mathbb R^5$ but not into $\mathbb R^4$.
The identifiacation of $SO(3)$ winth $\mathbb RP^3$ can be obtained in a rather direct way by realizing $SO(3)$ as a quotient group of either the unit quaternions as mentioned in the comment of @Kajelad or of $SU(2)$, in both cases by identifying each element with its negative. The unit quaternions are the unit sphere in $\mathbb H\cong\mathbb R^4$ on the nose and hence an $S^3$. For $SU(2)$ one easily verifies that mapping $A\in SU(2)$ to its first column vector identifies $SU(2)$ with unit vectors in $\mathbb C^2\cong\mathbb R^4$, so again this is a $3$-sphere.