A colloid supported against gravitational settling by means of an imposed electric field behaves, on average, as if it is at equilibrium in a confining potential [T. M. Squires, J. Fluid Mech. 443, 403 (2001)]. We show, however, that the effective Langevin equation for the colloid contains a nonequilibrium noise source, proportional to the field, arising from the thermal motion of dissolved ions. The position fluctuations of the colloid show strong, experimentally testable signatures of nonequilibrium behavior, including a highly anisotropic, frequency-dependent ``effective temperature″ obtained from the fluctuation-dissipation ratio.