We derive generalized Langevin equations for the translational and rotational motion of a heated Brownian particle from the fluctuating hydrodynamics of its nonisothermal solvent. The temperature gradient around the particle couples to the hydrodynamic modes excited by the particle itself so that the resulting noise spectrum is governed by a frequency-dependent temperature. We show how the effective temperatures at which the particle coordinates and (angular) velocities appear to be thermalized emerge from this central quantity.