I have found this exercise in the textbook I use:
3. Prove that if $H$ is a normal subgroup of $G$ of prime index $p$ then for all $K\leq G$ either (i) $K\leq H$ or (ii) $G=HK$ and $|K:K\cap H|=p$.
Proof. Assume $K\not\leq H$. Since $H\unlhd G$, we have $HK/H\cong K/H\cap K$. Also, we have $H\leq HK\leq G$. Since $|G:H|=p$, we have $HK=H$ or $HK=G$. Suppose $HK=H$. Then $K\leq HK=H$, contradiction. So $HK=G$. Hence $G/H\cong K/H\cap K$. So $|K:H\cap K|=p$.
The exercise is from Dummit and Foote page 101.
In the link, $H=A_{G}$ is a normal subgroup of $S_{G}$, so we can still use the fact.