Report it to the police right away. In addition, you may want to consider getting a civil restraining order against both of them to keep them from contacting you in any way.
Here's another option, in addition to traditional law enforcement and a civil restraining order - and these aren't mutually exclusive remedies, you can do all of them:
Disclaimer: Please note that this answer does not constitute legal advice, and should not be relied on, since each state has different laws, each situation is fact specific, and it is impossible to evaluate a legal problem without a comprehensive consultation and review of all the facts and documents at issue. This answer does not create an attorney-client relationship.