@ClassicSarah
If they messaged through PSN and depending on the content of that message, you can directly report that to Sony. There is an option in messenger.
Sony has taken a firm stance on harassment, inappropriate / insulting remarks and so on. If you have an example in one or more of their messages about their intention to harass you, send that in.
.....btw, you can also block their PSN account so they can't send you messages, follow you, etc.