[proofplan]
The assertion is local on $X$, so we work over an [open set](/page/Open%20Set) on which $E$ admits a holomorphic frame. In such a frame, a smooth section is represented by smooth complex-valued coefficient functions, and the bundle Dolbeault operator acts by applying the scalar $\bar{\partial}$ operator to each coefficient. Thus $\bar{\partial}_E s = 0$ is exactly the condition that all local coefficient functions have vanishing scalar $\bar{\partial}$, which is the local definition of holomorphicity for smooth functions. Since holomorphicity of sections is checked in holomorphic frames, the local equivalence patches over $X$.
[/proofplan]
[step:Reduce the assertion to holomorphic frames on coordinate open sets]
Let $p \in X$ be arbitrary. Since $E \to X$ is a holomorphic vector bundle of rank $r$, there exists an open neighbourhood $U \subset X$ of $p$ and holomorphic local sections
$e_1: U \to E|_U, \dots, e_r: U \to E|_U$
such that $(e_1(q), \dots, e_r(q))$ is a complex basis of the fiber $E_q$ for every $q \in U$.
The restriction $s|_U$ has a unique expression
\begin{align*}
s|_U = \sum_{i=1}^r s_i e_i
\end{align*}
where each coefficient function $s_i: U \to \mathbb{C}$ is smooth. By definition of a holomorphic section, $s$ is holomorphic on $U$ if and only if each coefficient function $s_i$ is holomorphic on $U$. Since holomorphicity of a section is local on $X$, it is enough to prove the equivalence on every such $U$.
[/step]
[step:Compute $\bar{\partial}_E s$ coefficientwise in a holomorphic frame]
By the defining local formula for the Dolbeault operator associated to the holomorphic structure on $E$, the expression
\begin{align*}
s|_U = \sum_{i=1}^r s_i e_i
\end{align*}
gives
\begin{align*}
(\bar{\partial}_E s)|_U = \sum_{i=1}^r (\bar{\partial} s_i) \otimes e_i.
\end{align*}
Here $\bar{\partial} s_i \in \Omega^{0,1}(U)$ is the scalar Dolbeault derivative of the smooth function $s_i: U \to \mathbb{C}$.
Because $(e_1,\dots,e_r)$ is a local frame, a section of $\Omega^{0,1}(U,E|_U)$ written in this frame vanishes if and only if all of its coefficient $(0,1)$-forms vanish. Therefore
\begin{align*}
(\bar{\partial}_E s)|_U = 0
\end{align*}
if and only if
\begin{align*}
\bar{\partial} s_i = 0
\end{align*}
for every $i \in \{1,\dots,r\}$.
[guided]
The purpose of choosing a holomorphic frame is that it converts the bundle-valued question into a coefficientwise scalar question. On the open set $U$, the frame sections $e_1: U \to E|_U, \dots, e_r: U \to E|_U$ give a basis of each fiber. Hence the smooth section $s|_U$ is uniquely represented as
\begin{align*}
s|_U = \sum_{i=1}^r s_i e_i
\end{align*}
with smooth coefficient functions $s_i: U \to \mathbb{C}$.
The Dolbeault operator $\bar{\partial}_E$ is defined so that, in a holomorphic frame, it differentiates only the coefficient functions in the antiholomorphic directions. Thus
\begin{align*}
(\bar{\partial}_E s)|_U = \sum_{i=1}^r (\bar{\partial} s_i) \otimes e_i.
\end{align*}
This formula uses precisely that the frame is holomorphic: no extra connection matrix terms appear in a holomorphic frame.
Now we interpret the equation $(\bar{\partial}_E s)|_U = 0$. Since $e_1,\dots,e_r$ are pointwise linearly independent, the representation of an $E$-valued $(0,1)$-form in this frame is unique. Therefore the sum
\begin{align*}
\sum_{i=1}^r (\bar{\partial} s_i) \otimes e_i
\end{align*}
vanishes exactly when every coefficient form $\bar{\partial} s_i \in \Omega^{0,1}(U)$ vanishes. Hence
\begin{align*}
(\bar{\partial}_E s)|_U = 0
\end{align*}
if and only if
\begin{align*}
\bar{\partial} s_i = 0
\end{align*}
for all $i \in \{1,\dots,r\}$.
[/guided]
[/step]
[step:Identify vanishing scalar $\bar{\partial}$ with holomorphic coefficients]
For each $i \in \{1,\dots,r\}$, the coefficient $s_i: U \to \mathbb{C}$ is smooth. By the scalar Dolbeault criterion for smooth complex-valued functions on a complex manifold, $s_i$ is holomorphic on $U$ if and only if
\begin{align*}
\bar{\partial} s_i = 0.
\end{align*}
Combining this scalar criterion with the coefficientwise computation above, we obtain
\begin{align*}
(\bar{\partial}_E s)|_U = 0
\end{align*}
if and only if every coefficient function $s_i$ is holomorphic on $U$.
[/step]
[step:Patch the local equivalence over $X$]
From the definition of holomorphic section in holomorphic local frames, $s$ is holomorphic on $U$ if and only if every coefficient function $s_i$ in the holomorphic frame $(e_1,\dots,e_r)$ is holomorphic on $U$. The previous step shows that this is equivalent to
\begin{align*}
(\bar{\partial}_E s)|_U = 0.
\end{align*}
Since $p \in X$ was arbitrary, the same equivalence holds on an open neighbourhood of every point of $X$. Therefore $s$ is holomorphic on all of $X$ if and only if $\bar{\partial}_E s$ vanishes on every such neighbourhood, which is equivalent to
\begin{align*}
\bar{\partial}_E s = 0
\end{align*}
as a global element of $\Omega^{0,1}(X,E)$. This proves the theorem.
[/step]