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The classical theory of Brownian dynamics follows from coarse-graining the underlying linearized fluctuating hydrodynamics of the solvent. We extend this procedure to globally non-isothermal conditions, requiring only a local thermal equilibration of the solvent. Starting from the conservation laws, we establish the stochastic equations of motion for the fluid momentum fluctuations in the presence of a suspended Brownian particle. These are then contracted to the non-isothermal generalized Langevin description of the suspended particle alone, for which the coupling to stochastic temperature fluctuations is found to be negligible under typical experimental conditions.

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