I understand your plight!
IMO, both are correct. The appropriate usage depends on the context.
If you wish to highlight the part that you've started working on "this", but whom you're collaborating with is not of much significance, you'd use the first option:
I have started working on this
(with Steve / Bob / Jenny / Bill Gates - doesn't matter in this context)
However, if you wish to highlight the person you're collaborating with, you should use the second option.
I have started working with Steve
(and not Bob / Jenny / Bill Gates) on this.
It's possible that Steve has the special know-how no "this" which you can't get from Bob or Jenny or Bill Gates and the person you're reporting this information to, would be happy that you're working with someone who'll be of considerable help to you and the project.
Hope this helps