Well, it depends on what way you want it 'proved'. That is, in what context?
If you loo at the first chapter of Landau Vol. 1 it will give you some lovely derivations of the proof.
Energy is conserved due to the homogenity of time.
That is, because it should not matter if I measure the energy of some mechanical system today, or tomorrow say, or at any point in time, we have a 'Conservation Law'.
So if you know Lagrangian mechanics, we can say that the lagrangian
$$ L(q(t),\dot{q}(t),t) = T(\dot{q}(t)) - V(q(t)) $$
where $T(\dot{q}(t)) $ is the kinetic energy and $V(q(t)) $ is the potential energy, is invariant under transformations
$$ t \rightarrow t' = t + \epsilon $$
Then doing a bit of maths, which you should work through all the steps yourself, you will get an expression of the form
$$ \frac{d}{dt} \left( \frac{\partial L}{\partial \dot{q}} \dot{q} - L \right)
= \frac{d}{dt} \left( (\dot{q}) \dot{q} - (\frac{1}{2}\dot{q}^2 - V) \right)
= \frac{d}{dt} \left( \frac{1}{2}\dot{q}^2 + V \right) = 0 $$
for
$$ L = \frac{1}{2} \dot{q}^2 - V $$
say
Hence the term inside the brackets, which is our 'Energy' is conserved.