We set up a mesoscopic theory for interacting Brownian particles embedded in a nonequilibrium environment, starting from the microscopic interacting many-body theory. Using nonequilibrium linear-response theory, we characterize the effective dynamical interactions on the mesoscopic scale and the statistics of the nonequilibrium environmental noise, arising upon integrating out the fast degrees of freedom. As hallmarks of nonequilibrium, the breakdown of the fluctuation-dissipation and action-reaction relations for Brownian degrees of freedom is exemplified with two prototypical models for the environment, namely active Brownian particles and stirred colloids.