While the origins of temporal correlations in Langevin dynamics have been thoroughly researched, the understanding of spatially correlated noise (SCN) is rather incomplete. In particular, very little is known about the relation between friction and SCN. In this article, starting from the microscopic, deterministic model, we derive the analytical formula for the spatial correlation function in the particle-bath interactions. This expression shows that SCN is the inherent component of binary mixtures, originating from the effective (entropic) interactions. Further, employing this spatial correlation function, we postulate the thermodynamically consistent Langevin equation driven by the Gaussian SCN and calculate the adequate fluctuation-dissipation relation. The thermodynamical consistency is achieved by introducing the spatially variant friction coefficient, which can be also derived analytically. This coefficient exhibits a number of intriguing properties, e.g., the singular behavior for certain types of interactions. Eventually, we apply this new theory to the system of two charged particles in the presence of counter-ions. Such particles interact via the screened-charge Yukawa potential and the inclusion of SCN leads to the emergence of the anomalous frictionless regime. In this regime the particles can experience active propulsion leading to the transient attraction effect. This effect suggests a nonequilibrium mechanism facilitating the molecular binding of the like-charged particles.