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This article from Inverse.com states the following:
[Diego] Luna said he spent a night camping with former Marines and Navy to research the role [of Cassian]. Specifically, he wanted to learn about what it's like to be captured and tortured, because Andor has been captured in the past.
EDIT: It seems like the Inverse article summarizes this Slashfilm interview, where Diego Luna says "Cassian has been captured more than once".
Has this element of backstory ever been mentioned elsewhere?
There aren't any specifics given, but the fact that he's been subjected to Imperial torture at some point is definitely part of the official canon.
The fledgling Rebel Alliance relies heavily on covert operatives to stymie Imperial operations. These strikes are discreet and targeted. Acts of sabotage, espionage and even assassinations fill Andor's casefile. Knowing from experience the efficacy of Imperial interrogation, Andor respects the need for secrets to be kept from field agents. He remains active to stave off the downtime that would plunge him into deeper reflection on some of his most extreme assignments.
There is a sentence in the Rogue One novelization:
The last time Cassian has hurt so bad, K-2SO had carried him to a safe house and along the way enumerated his every injury, thoroughly assessed the likelihoods of infection and permanent nerve damage. -ch 22.
So maybe K-2SO rescued him from such a situation, but that is something of a leap.
We know he has a knowledge of Imperial interrogation techniques, whether it is first hand or not we don't know.
The informant let out one last little groan, like he'd been troubled in his sleep, and lay still. They would've caught you, Tivik. You would've broken. You would've died. And neither of us would deliver your message. -ch 1.
After Princess Leia's interrogation, she was scheduled to be executed. I suspect that is the norm, and that few people go through an interrogation session and live to tell about it.
