The proof of the soul existing is that the consciousness is spread all over my body. As soon as I pinch any part of my body, I feel pain. Therefore I understand a soul is there. Just like a man who is going to die. So doctor is examining. He sees the pulse. He sees the heart - "Yes, it is beating." That is the sign that still the man is living. Similarly, the soul is there. The proof is that I can feel pains and pleasure on my body. That is explained in this verse.
Lecture on Bhagavad-gita 2.14, London, 20 August, 1973