No. If so then every group would be cyclic. For $m\mid m$. (Granted that's probably not what you meant.)
If we ask, instead, for $n\lt m$, the answer is still no.
An somewhat important example is $A_4$. It doesn't have a subgroup of index two. It's the smallest "non-Langrangian" group.
However, imho the best theorem to know of this flavor is Cauchy's theorem. It guarantees an element of order every prime divisor of $n$. My favorite proof is to use Sylow, to get a subgroup of order $p^l$. Then take the cyclic subgroup generated by any non-identity element. Cyclic groups have cyclic subgroups of every order dividing the order of the group. (There's a more basic proof, I am told, but I don't know it.)
There's also Sylow and Hall.