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"intense interrogation by police," 1900, probably a reference to Third Degree of master mason in Freemasonry (1772), the conferring of which included an interrogation ceremony. Third degree as a measure of severity of burns (most severe) is attested from 1866, from French (1832); in American English, as a definition of the seriousness of a particular type of crime (the least serious type) it is recorded from 1865.
Overly sensitive to criticism or insult: can't be thin-skinned and expect all the neighbors to like you