Access denied when connecting with SSH tunnel (connecting anyway)

Hello,

I'm trying to setup a SSH tunnel to a MySQL 5.6 server running on a FreeBSD box.
I'm getting a *ACCESS DENIED* notice (see below), and HeidiSQL seems to connect anyway.
Unsure if a working SSH connection is made, or if HeidiSQL is falling back to a normal connection?

This is my output from HeidiSQL:

/* Delimiter changed to ; */
/* Connecting to localhost via MySQL (SSH tunnel), username my-user-name, using password: Yes ... */
/* Attempt to create plink.exe process, waiting 4s for response ... */
/* C:\Program Files\Putty\plink.exe -ssh my-user-name@123.123.123.123 -pw "******" -P 22222 -N -L 3307:localhost:3306 */
SELECT CONNECTION_ID();
/* Connected. Thread-ID: 2679 */
/* Characterset: utf8mb4 */
SHOW STATUS;
SHOW VARIABLES;
/* Entering session "SRV03 Live (SSH)" */
/* Access is denied */