One of the easiest ways to prove [what the fundamental group of a space is] is to find its universal covering space and determine the group of covering transformations (sometimes called "deck" transformations).
Doing that for the case of SO(2) is about the same amount of work as proving SO(2) is homeomorphic to the circle. But determining the group of covering transformations ends up proving that π1(SO(2)) ≈ ℤ, instead of just relying on some previous theorem about the fundamental group of the circle.