I have an impression (but could be wrong) that I heard that for any semi-simple (real) Lie subalgebra $\mathfrak{k}$ of $\mathfrak{gl}(n,\mathbb{R})$ there exists a connected closed Lie subgroup $K\subset \mathrm{GL}(n,\mathbb{R})$ such that $\mathrm{Lie}(K)=\mathfrak{k}$.
Is it correct? A reference would be most helpful.