Here is my proof:
Proof. Let $(a_j) \to L$ be the original sequence and $({a}_{n_{j}})$ be a subsequence of $(a_j)$. We have to then show that $ ({a}_{n_{j}}) \to L$.
Since $(a_j) \to L$, we have for all $\epsilon >0$, there exists $N \in \mathbb{N}$ such that $|a_j - L| <\epsilon $ for all $j\ge N$. But $n_j \ge j$ which implies $n_j \ge N$ and it follows that $|a_{n_j}-L|<\epsilon$. Hence, $ ({a}_{n_{j}}) \to L$. $\Box$
Is my proof correct? I'm not sure why it is correct to claim $n_j \ge j$ but it seems intuitive.
Your proof is correct. In particular, $n_j \geq j $ is true because $n: \mathbb {N} \to \mathbb {N} $ is a strictly increasing function by definition of subsequence. You can give an easy proof using induction.