The statement immediately implies that $a \leq b$
Choose a prime $p>b+1$. It means that $p$ is co-prime with $a$ and $b$ and the number $(p-a+1)(p-1)+1$ is natural.
Now let $n=(p-a+1)(p-1)+1$.
By Fermat's Little Theorem:
$a^n=(a^{p-1})^{p-a+1} \cdot a \equiv a$ (mod p)
Similarly $b^n \equiv b$ (mod p).
Furthermore, $n=(p-a+1)(p-1)+1=p^2-ap+p-p+a-1+1 \equiv a$ (mod p).
Therefore we get $a^n-n \equiv a-a \equiv 0$ (mod p).
But then $b^n-n \equiv 0$ (mod p). On the other hand, $b^n-n \equiv b-a$ (mod p).
Thus $p \mid b-a$, which implies that either $p \leq |b-a|$ or $b-a=0$. The former doesn't hold because $p>b>b-a\geq 0$, thus $a-b=0$ and $a=b$.
Note that for the 'plus' version of this problem when $a^n+n \mid b^n+n$ for every natural number, it suffices to choose $n=(a+1)(p-1)+1$.