You should go to your manager if you feel comfortable. Hopefully they are not the one bullying you, if so go up the chain of command or to HR. No one should bully anyone and you deserve the same respect they expect from you.
Contact HR for a policy against work place bullying, hostile work environment, and if there is a union, contact them.
Don't ever let them see you sweat!
Or you can politely check them.
In a calm professional manner be direct with them. Let them know what it was they did and how it might have been handled differently. If no resolution, go to your manager.
Follow your chain of command. First report the events to your direct supervisor. Have specific dates, times, and objective accounts of the event available. I f the situation does not resolve, escalate the issue to your direct supervisor's supervisor. Lastly, most work places have a no tolerance policy for hostile work environments and bullying. Your final recourse would be to escalate this concern to your HR representative or your company's "Compliance line".