Am I a 'former associate at Company XYZ' or a 'former associate of Company XYZ'?
It depends what you mean by "associate". In some organizations, "Associate" is the name of a position (or a role), not a description of your relationship with the company.
For instance, in many management consulting companies, you will start at the company as an "Analyst" when you arrive from university, and with a few years' service, you will later be promoted to an "Associate". (I believe the reverse applies in a minority of smaller English investment banks.)
In that case, you can say "I am a former Associate at Bob & Company LLC" if indeed you held the title of "Associate". That is what I understood from your post.
If you mean informally, you merely had some association with the company at some point—perhaps you were a contractor supplying services to Bob & Company, or perhaps you wish to be unspecific about your exact relationship with Bob&Co, you could say "I am a former associate of Bob & Company". (However, I think this usage is a bit strange because a person cannot really be an associate of a corporation—you can only associate with people at the corporation.)