Lots of perspective at play in these situations.
I grew up in a large family where touch feely was not part of the mix so I had to develop a pretty thick skin. We all tend to think others are like us so I am sometimes surprised how people can take things so hard when to me they are just a passing jest. Part of being human I guess. I suppose the shell of your egg could be a bit fragile... don't know you but that is always in play.

Confronting or going to HR run their own risks, you could get a "sorry I didn't realize", or a "what a baby" reaction, hard to say, but management does tend to naturally stick together so there is always some risk there. How long do you have to be mentored by this person?

As far as dealing with internal emotions, I think looking for compassion is the way to go... I know, easy to say, hard to do. Anyway, I won't write a treatise on this as others have already gone into why some people bully and abuse power over others, it is generally a low self esteem issue. Unfortunately, people with low self esteem often seek power, title, and position, to show to themselves and the world that they are not as they themselves feel they are, and / or as they feel others view them. Many of them eventually get into positions of power if for no other reason than they try harder as they are driven by this need to prove something. Also, they have become good at creating and promoting false fronts, to themselves and the world. Despite the appearances they create, they are often torchered on the inside, whether they are aware of it or not. Watch them and get to know them and this often becomes glaringly apparent. Knowing this can help to generate some compassion to quench the anger and hurt you feel, and perhaps help you get through this and out the other side.