If you use the UK "fire brigade", I'm not sure it's possible to work at it, only for it. Have reported it, as I think "for" should at least be accepted, even if "at" is too. I suppose you could ask someone whether they work at the fire station, but not the brigade. I think the brigade or service is what is meant here, not the building.
I felt the need to look into that as well. Here's what I found:<pre>
"There is actually a slight difference between all 3 prepositions: I work AT the police department - as said before, this means that you work where the police department is located (you might work in a building right near it) but this does not mean you are a police officer. I work IN the police department - You work inside the police department and could be an officer. I work FOR the police department - you work on the behalf of the police department and could be an officer or some other aid. For me, all three don't necessarily mean that you are a police officer. Simply state "I am a police officer" if that is what you want to get at.</pre>
Meyer Wolfsheim, Feb 26, 2010"
I copied it from this forum: https://forum.wordreference.com/threads/i-work-at-in-for-the-police-department.1716012/ I guess the same rules apply for fire department, but not for fire brigade.
You can say: I work with the fire department (fire brigade) (as a volunteer). I see many examples on Internet using 'with'