Really this is saying that is an 'interval', in the more traditional sense.
Proof
(): Suppose is connected, and let and . Set:
Because and , then neither set is empty and neither set contains a limit point of the other (see Separated, Disconnected, Connected Sets#Examples to see how that works, namely example 2). If , then we would have that is disconnected, which it is not (by our given). It must then be that is missing some element of and is the only possibility. Thus, .
(): Suppose and that . To show that is connected, assume for contradiction, where are nonempty and disjoint (being separated allows us to get disjoint for free). We need to show that one of these sets contains a limit point of the other. Pick and and, suppose (for the sake of argument) that . Because itself is an interval, then interval . Now, bisect into two equal halves. The midpoint of must either be in or , so choose to be the half that allows us to have and . Continue this process, where each where and and the length . By the Nested Interval Property then where:
It is straightforward to see that and . But now must belong to either or , thus making it a limit point of the other, contradicting being separated. As such, then so then must be connected.