"When you change the way you look at things, the things you look at change." Wayne Dyer
Most of the advice you'll find out there on dealing with a workplace bully is just that, dealing with a bully. Talk to HR using facts and dates, document everything, keep doing your work well, find a witness to back your story up, file a law suit, etc. This is all helpful of course, but I would argue there's a major first step most advice-givers are missing.
Attribution theory describes the ways in which people explain behaviors of others and themselves. External attribution (also known as external locus of control) assigns causes of behavior to outside factors such as luck or even the weather. Internal attribution (internal locus of control) assigns causality to factors within ourselves or within that other person. Skills and personal abilities are an example.
Whether we attribute ours or others' behaviors to internal or external factors is a choice. And, we often choose to attribute negative happenings to outside forces, and positive happenings to ourselves. As a teacher I know that students who receive A's in my courses will attribute the grade to their own hard work, and students who receive an F will approach me with the question "Why did you give me an F?" It's as predictable as the sunrise. On a more personal level, during arguments with spouses or family members we often blame the other party for the issue at hand, and very rarely do we stop to take a good hard look at the part we played in the yelling match.
With attribution theory in mind, ask yourself why you're being picked on specifically instead of the other people at your workplace. What is it about YOUR particular relationship with the bully that is turning it into such a negative experience? What part do you play in the scenarios acted out between you and your bully? What makes you different than others who are not picked on? What signals are you sending the bully with your communication style? Do you fail to make eye contact with him or her? Are your shoulders hunched over instead of pushed back in a manner of pride? Are you claiming the bully has issues and you are perfectly innocent bystander?
As much as it may hurt at first to take some responsibility in what's happening, understand that you are not a simple passerby in your life. Though it may feel like it, your bully is not the WB's cartoon Tasmanian Devil swirling through at record speeds knocking anything and anyone out of the way at random. The bully has chosen YOU. You play SOME part in the interaction and communication processes at play here. And when you take responsibility for what's happening to you, it's easier to make a change. When you attribute your experiences to the bully, you feel like you have no control over the situation. Change then becomes impossible.
Think about the control you turn over to the bully when you say things like, "He makes me feel depressed and anxious." Now try saying, "I feel depressed and anxious," and see how much power and empowerment even those simple words can bring you.
Victor Frankl, a famous neurologist and psychiatrist once said, "The last of the human freedoms is to choose one's attitude in any given set of circumstances." It's certainly very easy to blame the bully for the horrible treatment and have a bad attitude about your situation, understandably so. But find out what part you play in the interactions with your bully, take responsibility for it, and make a change. This might be a change in your body language, your attitude, your conflict management style, or your way of thinking.
I'm certainly not saying this is your fault. But I am saying you have the power to change your situation by changing the way you're looking at it. Absolutely you do.