Ulli's answer gives a really simple and elegant proof of the result "path-connected $\Rightarrow$ $\sigma$-connected". Actually as we will see, $\sigma$-connectedness behave in many aspects just like connectedness, or other connectedness properties. Even if we have already know "path-connected $\Rightarrow$ $\sigma$-connected", I would still like to name some properties of $\sigma$-connectedness:
Fact 1. If $\{A_\alpha\}_\alpha$ is a family of $\sigma$-connected sets with nonempty intersection, then $\displaystyle\bigcup_\alpha A_\alpha$ is $\sigma$-connected.
Proof: Write $\displaystyle\bigcup_\alpha A_\alpha = \displaystyle\bigcup_{n\in\omega} C_n$, where $\{C_n\}_{n\in\omega}$ is a family of disjoint closed subsets with respect to the subspace topology of $\displaystyle\bigcup_\alpha A_\alpha$, then for each $\alpha$, $\{A_\alpha\cap C_n\}_{n\in\omega}$ is a family of closed subsets with respect to the subspace topology of $A_\alpha$. So each $A_\alpha$ must be included to the same $C_n$ since the intersection of all $A_\alpha$ is nonempty.
Fact 2. The continuous image of a $\sigma$-connected set is $\sigma$-connected.
Proof: Let $X$ be a $\sigma$-connected space, and $f:X\to Y$ be a continuous surjection (so I don't need to write "with respect to the subspace topology" all the time). Let $\{C_n\}_{n\in\omega}$ be a partition of $Y$ into closed subsets, then
$$
X = f^{-1}\left(\bigcup_{n\in\omega}C_n\right) = \bigcup_{n\in\omega}f^{-1}(C_n),
$$
which partitions $X$ into closed subsets, so one of $f^{-1}(C_n)$ is the whole $X$ and the others are empty. This shows that one of $C_n$ is the whole $Y$ the others are empty because $f$ is a surjection.
Corollary. A path-connected space is $\sigma$-connected.
Proof. Let $X$ be path-connected and fix $x_0\in X$. Let $S=\{f:[0,1]\to X\text{ continuous}:f(0)=x_0\}$, then $f([0,1])$ is $\sigma$-connected as the continuous image of the $\sigma$-connected space $[0,1]$, so the union of all $f([0,1])$ is also $\sigma$-connected since their intersection contains $x_0$. Since $X$ is path-connected, the union of all $f([0,1])$ is precisely $X$.
Now I will give an example of a space that is $\sigma$-connected but not path-connected.
Let $K=\left\{\dfrac{1}{n}:n\in\mathbb{N}^*\right\}$. Smirnov's deleted sequence topology $\mathbb{R}_K$, or what Munkres calls $K$-topology, consists of all sets of the form $U\setminus B$, where $U\subset\mathbb{R}$ is open in the standard topology and $B\subset K$. This is a topology strictly finer than the standard topology on $\mathbb{R}$. (I believe that this is among the two examples used by Munkres to teech the comparison of topologies; the other more well-known example is the Sorgenfrey line, or what Munkres calls the lower-limit topology).
It is standard that $\mathbb{R}_K$ is not path-connected. You will notice that the proof of its $\sigma$-connectedness is exactly the proof of its connectedness.
Fact 3. The closure of a $\sigma$-connected set is $\sigma$-connected.
Proof. Let $E$ be a $\sigma$-connected set of a space $X$, and write $\overline{E}=\displaystyle\bigcup_{n\in\omega} C_n$, where $\{C_n\}_{n\in\omega}$ is a family of disjoint closed subsets with respect to the subspace topology of $\overline{E}$ (so each $C_n$ is also closed since $\overline{E}$ is closed), then $\{E\cap C_n\}_{n\in\omega}$ is a family of closed subsets with respect to the subspace topology of $E$. By $\sigma$-connectedness we can suppose WLOG that $E\cap C_0 = E$ and $E\cap C_n=\emptyset$ for $n>0$, which means that $E\subset C_0$, then $\overline{E}\subset C_0$ since $C_0$ is closed.
Claim. $\mathbb{R}_K$ is $\sigma$-connected.
Proof. The restriction of $\mathbb{R}_K$ to the subspaces $(-\infty,0]$ and $(0,+\infty)$ coincides with their counterparts in standard topology, so both subspaces are $\sigma$-connected since they are path-connected, then we see that $[0,+\infty)=\overline{(0,+\infty)}$ (in $\mathbb{R}_K$) and $\mathbb{R}_K = (-\infty,0]\cup[0,+\infty)$ are also $\sigma$-connected.