It’s also possible to give a combinatorial proof.
Let $A=\{0\}\cup[n]=\{0,\ldots,n\}$; we’ll count in two ways the permutations of $A$ that begin with $0$.
On the one hand there are of course $n!$ of them, since the remaining $n$ elements can be arranged in any order.
Alternatively, for $k\in[n]$ let $P_k$ be the set of permutations of $A$ in which $k$ precedes $0$; clearly exactly half of the permutations of $A$ are in $P_k$, so $|P_k|=\frac12(n+1)!$. More generally, if $\varnothing\ne I\subseteq[n]$, then $\bigcap_{k\in I}P_k$ is the set of permutations in which $0$ is preceded by every element of $I$, and
$$\left|\bigcap_{k\in I}P_k\right|=\frac{(n+1)!}{k+1}\;.$$
A straightforward inclusion-exclusion argument now yields the equation
$$\left|\bigcup_{k\in[n]}P_k\right|=\sum_{\varnothing\ne I\subseteq[n]}(-1)^{|I|+1}\frac{(n+1)!}{k+1}=\sum_{k=1}^n(-1)^{k+1}\binom{n}k\cdot\frac{(n+1)!}{k+1}\;.$$
But $\bigcup_{k\in[n]}P_k$ is just the set of permutations of $A$ in which $0$ does not come first, so
$$n!=(n+1)!-\sum_{k=1}^n(-1)^{k+1}\binom{n}k\cdot\frac{(n+1)!}{k+1}=(n+1)!\sum_{k=0}^n(-1)^k\binom{n}k\frac1{k+1}\;,$$
and dividing through by $(n+1)!$ yields the desired identity.