Yes, you can lodge a complaint against them if they are really threatening you and your parents. However, my question to you is how come you kept quite for 3 years? when did you come to know about your husbands' extra-marital relation, and on what grounds have your husband filed for divorce in family court?? Has he admitted that he is not interested in you anymore or that he is another relation- I guess not. Since when he is threatening you and your family. Do not be late to take valid action. Law helps those who are proactive and not sleep over their chances to seek justice.
You, as a wife, can pursue divorce on the ground of adultery on part of your husband. However, you will have to substantially prove it in the Court. In my opinion, make a decision for yourself first, as to whether you want a divorce or not. If yes, then how- mutual consent or by litigation. Alimony is also a valid point you must consider.
You can always approach higher police officers for help. Moreover, if you think that the police will manipulate and will not cooperate with you, then you can complaint in the court before the judge about the threatening and seek order to file an FIR against them.