Since $f$ is a polynomial, there exists $n \in \mathbb{N}$ and constants $\{ a_{j} \}_{j=1}^{n}$ such that $f(A) = \sum_{j=1}^{n} a_{j} A^{j}$.
If $\lambda$ is an eigenvalue of $A$, and $\mathbb{v}$ is the corresponding eigenvector, then we have $A\mathbb{v} = \lambda \mathbb{v}$. Notice then that:
$$
f(A) \mathbb{v} = \left( \sum_{j=1}^{n} a_{j} A^{j} \right) \mathbb{v} = \sum_{j=1}^{n} a_{j} \left( A^{j} \mathbb{v} \right) = \sum_{j=1}^{n} a_{j} \left( \lambda^{j} \mathbb{v} \right) = \left( \sum_{j=1}^{n} a_{j} \lambda^{j} \right) \mathbb{v} = f(\lambda) \mathbb{v}
$$
This means that $\mathbb{v}$ is an eigenvector of the matrix $f(A)$, and that the corresponding eigenvalue is $f(\lambda)$.
NOTE: Since $A\mathbb{v} = \lambda \mathbb{v}$, then we know that $A^{2} \mathbb{v} = A(A\mathbb{v}) = A ( \lambda \mathbb{v} ) = \lambda A \mathbb{v} = \lambda^{2} \mathbb{v}$, and we can generalize this to $A^{j} \mathbb{v} = \lambda^{j} \mathbb{v}$.