The state of a system is an invariant in the sense that any well-defined experiment should yield the same result regardless of the observer. However, it is extremely common to mistake what is a well-defined experiment.
Asking what is the length of an object, or it's energy, are not well-defined experiments, because these terms have different meanings for different observers. What an observer calls "energy", another calls "a specific linear combination of the object's energy and momentum". Nevertheless, if you specify your experiment by actually giving an experimental prescription, there is no ambiguity. Different observers might interpret the result differently (one of them calls it energy, the other calls it something else), but the result is the same.
As for proving this, I'd say it is a logical necessity. Pick an arbitrary experiment. Now couple a bomb to it such that, if the result is above a certain value, the bomb goes off and kills the experimenter. Now, all observers must agree on whether the experimenter died due to the bomb or not. Hence, all observers must agree on the result of the experiment. Otherwise, changing observers would change reality itself.
Of course, different observers might give different names to the quantity being measured. One of them calls it energy, another calls it a linear combination of energy and momentum, etc. However, this just shows that our words are often poorly chosen, leading us to think an experiment is well-defined when it isn't.
As a further example, suppose two different observers try to measure the energy of some particle (each of them according to their own notion of "energy"). These are different experiments, because you have to use different apparatuses or couple them differently to the particle. Hence, asking to measure the energy of a particle is not a well-defined experiment, since each choice of observer leads to a different experiment.