  Iron antimonide (FeSb$_2$) is a mysterious material with peculiar colossal
thermopower of about $-45$ mV/K at 10 K. However, a unified microscopic
description of this phenomenon is far from being achieved. The understanding of
the electronic structure in details is crucial in identifying the microscopic
mechanism of FeSb$_2$ thermopower. Combining angle-resolved photoemission
spectroscopy (ARPES) and first-principles calculations we find that the
spectrum of FeSb$_2$ consists of two bands near the Fermi energy: the
nondispersive strongly renormalized $\alpha$-band, and the hole-like
$\beta$-band that intersects the first one at $\Gamma$ and Y points of the
Brillouin zone. Our study reveals the presence of sizable correlations,
predominantly among electrons derived from Fe-3d states, and considerable
anisotropy in the electronic structure of FeSb$_2$. These key ingredients are
of fundamental importance in the description of colossal thermopower in
FeSb$_2$.
