As suggested, I am writing the complete answer.
First we use the not so simple result:
Theorem: Let $n = 3$ or $n\geq 5$. Then $A_n$ is simple.
Statement: Now for $n=3$ or $n \geq 5$ let's show that $\{id\}, A_n$ and $S_n$ are the only normal subgroups of $S_n$.In particular, $A_n$ is the only sugbroup of $S_n$ of index $2$.
Proof: It is clear that $\{id\}, A_n$ and $S_n$ are normal subgroups of $S_n$. Now let $H$ be a normal subgroup of $S_n$ and consider the group homomorphism $$\psi: H \to \{-1,+1\}$$
defined by $$\psi(\alpha)= \begin{cases}1&, \text {if}\ \ \alpha\ \ \text{is even}\\-1&, \text {if}\ \ \alpha\ \ \text{is odd}\end{cases} $$
Naturally, $\ker \psi = H \cap A_n$ and $(H: \ker \psi) = |\psi(H)| = 1$ or $2$. Thus, $(H: H \cap A_n) = 1$ or $2$.
$(H: H\cap A_n) = 1$, that is, $H \subset A_n$. As $H \lhd S_n$, then a fortiori $H \lhd A_n$, then it follows from the theorem that $H=\{id\}$ or $H=A_n$.
$(H:H\cap A_n) = 2$. As $H \lhd S_n$, then $H \cap A_n \lhd A_n$, then from the theorem, $H \cap A_n = \{id\}$ or $H \cap A_n = A_n$. Therefore $|H| =2$ or $|H| = S_n$.
Let's suppose $|H|=2$. As $H \cap A_n = \{id\}$, then $H$ contains an odd permutation $\tau$ of order $2$. Such permutation $\tau$ is necessarily a product of disjoint transpositions, say $\tau = (12)\rho_{2}\ldots\rho_{s}$. Then
$$\tau ' = (13)\tau(13)^{-1} \in H , \text{because}\ \ \tau \in H \lhd S_n$$
As $$\tau ' (2) = [(13)\tau(13)](2) = [(13)\tau](2) = [(13)](1) =3$$
and $\tau(2) =1$, we obtain $\tau \neq \tau '$ and it follows that $|H| \geq 3$. So assuming that $|H| = 2$ leads us to a contradiction and then $H = S_n$.