When $n\geq 5$ we can assume there is another one besides $A_n$, they are both normal, so the intersection is normal in $S_n$ and also in $A_n$, contradicting that $A_n$ is simple.
For $n=1$ it's trivial it is false, for $n=2$ it's trivial it is true, for $n=3$ the order of such a subgroup would be three, by cauchy it has a $3$-cycle, and if it does it is $\{(123),(132),e\}$
I'm just missing $S_4$, I think I did it before, but I would appreciate a clean and as slick as possible approach. (If you have to use advanced stuff to make it slicker I'd like it even more :p)
Thank you very much in advance
Regards.