The relation A defined on $\mathbb{R}$ by $ xAy \iff \exists k \in \mathbb{Z}, ~x - y = 2k$ is an equivalence relation.
Proof. We must show that xAy is reflexive, symmetry and transitive.
Since A is a relation on $\mathbb{R}$, so that $x, y \in \mathbb{Z}$. Then xAx is relation iff $x-x = 2k$. Hence A is reflexive Since k = 0 and $k \in \mathbb{Z}$.
Since xAy iff $\exists k \in \mathbb{Z}, x - y = 2k$, then we have yAx iff $\exists k \in \mathbb{Z}, y-x =2k$. If there exists $k \in \mathbb{Z}$, such that $x - y = 2k$, then there must exists $k \in \mathbb{Z}$, such that $y-x = 2k$. Hence A is symmerty.
Let $a \in R$, we have yAa as $y - a = 2k$, also we have xAy as $x - y = 2k$. We take the union, then we have $(xAy) \cup (yAa) ~iff~ \exists k \in \mathbb{Z}, (x-y+y-a) = 2k.$ Therefore, xAa iff $\exists k \in \mathbb{Z}, x -a = 2k$. Hence A is transitive.
Since A is reflexive, symmetry and transitive. Hence A is an equivalence relation on $\mathbb{R}$. $\blacksquare$
Does my proof correct? Do I need to worried about the domain of relation is $\mathbb{R}$ while we want to show the existence is on $\mathbb{Z}$ ?
No. It is of no concern.
Any ordered pair of real numbers will be A-related if their difference is an even integer. $$\forall (x,y)\in \Bbb R^2: \quad (x,y)\in A \iff [\exists k\in \Bbb Z: 2k=x-y]$$
$2.314$ and $12.314$ are real numbers whose difference is an even integer, $10$, so they are A-related.
$2$ and $\pi$ are real numbers whose difference is not an even integer, so they are not A-related.
It... needs polishing, but you have the right approach. Here one way I'd write it.
Reflexive: Because $0$ is an even integer, then any real number is A-related to itself.
Symmetric: Because the negative of an even integer is also an even integer, then if any ordered pair of real numbers are A-related, then the reverse-ordered pair is also A-related. vis: $$x-y=2k ~\to~ y-x=2(-k)$$
Transitive: Because the sum of two even integers is also an even integer, then if any two ordered pairs of real numbers of the form $(x,y)$ and $(y,z)$ are both A-related, then so too is $(x,z)$. vis: $$[~x-y=2k_1~\wedge~ y-z=2k_2~]~\to~ x-z=2(k_1+k_2)$$
It covers the points you were trying to raise in clear natural language, with symbols to clarify.