Difficult Deal Team Member - Advice?

Know this is probably subjective, but am a 1st year analyst staffed on a deal with an associate that's terrible to work with.

On a broad level, they micromanage me and nitpick almost everything I do. I don't mind the nitpicking because I feel like this is how I'd grow to be detail oriented, but sometimes their criticism contradicts previous things they've said to me to the point that I'm not sure anything I do will ever be right since they have comments on everything I do (e.g. omitting one word from an email subject becoming a lesson). 

They're also sometimes passive aggressive but also my direct point of contact for a lot of things to the point that I'm scared to ask them questions - they once called me and threatened to give me a poor review based on a misunderstanding over a question I asked. 

At this point, I feel pretty hopeless since I'm more fearful of them than seniors on my team. This coupled with my existing anxiety made me feel like I was terrible at my job to the point that I would be fired or something (I don't really get feedback from anyone else besides them so I genuinely thought I was terrible), and yet feedback from my review said I was on track.

I don't really want to reach out since I don't feel comfortable with my status at my firm yet, and I don't know if there's a good person to reach out to to begin with, or if I'm just a pussy and should just stick it out and that this is just a normal thing to experience. 

Let me know your thoughts please and can PM to provide more detail since this is vague.

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