The classical theory of Brownian motion applies to suspensions which are so dilute that each particle is effectively alone in infinite fluid. We consider here the modifications to the theory that are needed when rigid spherical particles are close enough to interact hydrodynamically. It is first shown that Brownian motion is a diffusion process of the conventional kind provided that the particle configuration does not change significantly during a viscous relaxation time. The original argument due to Einstein, which invokes an equilibrium situation, is generalized to show that the particle flux in probability space due to Brownian motion is the same as that which would be produced by the application of a certain ‘thermodynamic’ force to each particle. We then use this prescription to deduce the Brownian diffusivities in two different types of situation. The first concerns a dilute homogeneous suspension which is being deformed, and the relative translational diffusivity of two rigid spherical particles with a given separation is calculated from the properties of the low-Reynolds-number flow due to two spheres moving under equal and opposite forces. The second concerns a suspension in which there is a gradient of concentration of particles. The thermodynamic force on each particle in this case is shown to be equal to the gradient of the chemical potential of the particles, which brings considerations of the multi-particle excluded volume into the problem. Determination of the particle flux due to the action of this force is equivalent to determination of the sedimentation velocity of particles falling through fluid under gravity, for which a theoretical result correct to the first order in volume fraction of the particles is available. The diffusivity of the particles is found to increase slowly as the concentration rises from zero. These results are generalized to the case of a (dilute) inhomogeneous suspension of several different species of spherical particle, and expressions are obtained for the diagonal and off-diagonal elements of the diffusivity matrix. Numerical values of all the relevant hydrodynamic functions are given for the case of spheres of uniform size.