I kind of have an elementary solution, it seems to be fine but I am not sure if everything is correct; please point out the mistake(s) I'm making, if any.

Define $$H_n:=\sum_{i=1}^n \frac{1}{i}$$
Since $0<H_n<n$, if $\exists$ some $n$ for which $H_n$ is integral then $H_n=k$ where $0<k<n$. Then $$H_n=k=1+\frac{1}{2}+\frac{1}{3}+\cdots\ +\frac{1}{k}+\cdots\ +\frac{1}{n}\\
\Rightarrow k=\frac{1}{k}+\frac{p}{q}\Rightarrow qk^2-pk-q=0$$ where $\gcd(p,q)=1$. Then we get $$k=\frac{p\pm \sqrt{p^2+4q^2}}{2q}$$ Since $k$ is integer $$p^2+4q^2=r^2$$ for some $r\in \mathbb{Z}^+$. Let $\gcd(p,2q,r)=d$ and let $\displaystyle x=\frac{p}{d},\ y=\frac{2q}{d},\ z=\frac{r}{d}$. Then $$x^2+y^2=z^2$$ Now, I make the following claim:

**Claim:***$p$ is odd and $q$ is even.*

**Proof:** Let $s=2^m\le n$ be the largest power of $2$ in $\{1,2,\cdots,\ n\}$. Then, if $k\ne s$ then the numerator of $\displaystyle \frac{p}{q}$ is the sum of $n-1$ terms out of which one will be odd and hence $p$ is odd. On the other hand, $q$ will have the term $s$ as a factor. So q is even.

Now, if $k=s$, then since $n>2$(otherwise there is nothing to prove)then, there will be a factor $2^{m-1}\ge 2$ in $q$ and one of the sum terms in $p$ that corresponds to $2^{m-1}$ will be odd. Hence in this case also, $p$ is odd and $q$ is even. So the claim is proved. $\Box$

So, now we see that $d\ne 2$ and hence $2|y$. So we have a Pythgorian equation with $2|y, \ x,y,z>0$. hence the solutions will be $$x=u^2-v^2,\ y=2uv,\ z=u^2+v^2$$ with $(u,v)=1.$ So, since $k$ is positive, $$k=\frac{d(x+z)}{dy}=\frac{u}{v}$$ But since $(u,v)=1$, $k$ is not an integer (for $n\ge 2$) which is a contradiction. So $H_n$ can not be an integer. $\Box$