The usual prepositions that follow "impressed" are "by" and "with," as in these examples from the Collins COBUILD English Dictionary*:
I was very impressed by one young man at my lectures. I'm very impressed with the new airport.
However, "impressed at" is also possible, as seen in these examples from the Collins COBUILD online*
...to the South Bank Show they'll be impressed at how people have used their... ...shows them to have been mightily impressed at the appearance of a promising... ...the TASS correspondent, evidently impressed at the orthodox socialist... ...Mr. Norman Lamont, has said he's impressed at the extent of the Soviet... ...Lloyd George could not help being impressed at Haig's `dramatic use of both... ...picking up the sport. I was most impressed at his confidence and posture.... ...But sources say she is less than impressed at the prospect... ...So were the Hereford heros at all impressed at having their names evoked by... ...profession. Looking back, he was impressed at how confined to one vocation... ...other hand, you can be very much impressed at the political participation of...
Neither the Collins COBUILD English Dictionary nor other references the Grammar Exchange consulted lists "impressed at." They list "impressed by" and "impressed with." Usage, though, shows us that "impressed at" exists at least in what looks like items from the media – maybe British media?
*The Collins COBUILD English Dictionary. Harper Collins. 1995 **http://titania.cobuild.collins.co.uk/cgi-bin/democonc
1. Of the 1295 occurrences of "impressed" in my written English corpus (mainly literary works):
impressed by 249 impressed with 210 impressed at 6
2. The Longman Contemporary English-Chinese Dictionary (1988), adapted for Chinese people from the Longman Dictionary of Contemporary English, gives the following example under the word item "impress":
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